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Keywords: Forecast error variance decomposition
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Journal Articles
Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets
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Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (2): 186–211.
Published: 06 January 2023
... 2021, the generalized forecast error variance decomposition method (based on Diebold and Yilmaz, 2012 approach) is employed to measure the degree of volatility spillovers/connectedness among stock markets of 24 Asia–Pacific and 12 European Union (EU) economies. Findings The empirical results from...
