A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania
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- Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "GARCH modeling of five popular commodities," Empirical Economics, Springer, vol. 48(4), pages 1691-1712, June.
- Dănciulescu Andreea-Gabriela & Mergeani Nicea, 2017. "The Insertion Of Young People On The Romanian Labour Market," Junior Scientific Researcher, SC Research Publishing SRL, vol. 3(2), pages 42-51, November.
- Stamule Stere & Todea Steluța, 2017. "Millennials between consumer ethnocentrism and attitudes towards local campaigns," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 11(1), pages 720-729, July.
- Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
- Güloğlu, Bülent & Kaya, Pınar & Aydemir, Resul, 2016. "Volatility transmission among Latin American stock markets under structural breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 330-340.
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More about this item
Keywords
volatility spillovers; contagion effects; stock return comovem;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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