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Keywords: VAR-structural-GARCH model
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Journal Articles
Spillover effect in Asian financial markets: A VAR-structural GARCH analysis
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2016) 6 (2): 150–176.
Published: 16 May 2016
...Yu Wang; Lei Liu Purpose – The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets. Design/methodology/approach – It is based on a VAR-structural-GARCH model...
