Volatility Spillover in US and European Equity Markets: Evidence from Ex-ante and Ex-post Volatility Indicators
碩士 === 元智大學 === 財務金融學系 === 98 === This article utilizes the multiplicative error model to analyze and compare the volatility spillover effect based on two volatility measures, volatility index and price range. We find that the lead-lag relationships are similar based on these two volatility measures...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08375086461653013613 |