Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach

Hong Li, Ewa Majerowska

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	247-266
Journal	Research in International Business and Finance
Volume	22
Issue number	3
DOIs	https://doi.org/10.1016/j.ribaf.2007.06.001
Publication status	Published - Sept 2008
Externally published	Yes

Keywords

@article{9ed2c609b6c2403b894c8f7b5cd6db69,

title = "Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach",

keywords = "stock market linkages, volatility spillovers, multivariate GARCH model, asymmetric response of volatility, Economics and econometrics",

author = "Hong Li and Ewa Majerowska",

year = "2008",

month = sep,

doi = "10.1016/j.ribaf.2007.06.001",

language = "English",

volume = "22",

pages = "247--266",

journal = "Research in International Business and Finance",

issn = "0275-5319",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - Testing stock market linkages for Poland and Hungary

T2 - A multivariate GARCH approach

AU - Li, Hong

AU - Majerowska, Ewa

PY - 2008/9

Y1 - 2008/9

KW - stock market linkages

KW - volatility spillovers

KW - multivariate GARCH model

KW - asymmetric response of volatility

KW - Economics and econometrics

U2 - 10.1016/j.ribaf.2007.06.001

DO - 10.1016/j.ribaf.2007.06.001

M3 - Article

SN - 0275-5319

VL - 22

SP - 247

EP - 266

JO - Research in International Business and Finance

JF - Research in International Business and Finance

IS - 3

ER -