Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US
This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the stock market and the real economic sector....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2010-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2010/1452-595X1004429G.pdf |