Return and volatility spillovers to industry returns: Does EMU play a role?
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Cited by:
- Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
- Milunovich, George & Thorp, Susan, 2006.
"Valuing volatility spillovers,"
Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
- George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
- George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, University Library of Munich, Germany.
- Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
- Mateus, Cesario & Chinthalapati, Raju & Mateus, Irina B., 2017. "Intraday industry-specific spillover effect in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 278-298.
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JEL classification:
- G1 - Financial Economics - - General Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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