Keywords: Spillover index
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Journal Articles
Managerial Finance (2016) 42 (10): 943–962.
Published: 10 October 2016
... volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets. Originality/value Prior literature has used impulse response and variance decomposition...

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