Stock markets volatility spillovers during financial crises : a DCC-MGARCH with Skew-t approach
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Bibliographic Information
Stock markets volatility spillovers during financial crises : a DCC-MGARCH with Skew-t approach
(Discussion paper series, no. 2016-4)
Faculty of Economics, Kyushu University, 2016
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Note
Includes bibliographical references (p. 33-36)