Stock markets volatility spillovers during financial crises : a DCC-MGARCH with Skew-t approach

Author(s)

• Bala, Dahiru A.
• Takimoto, Taro

Bibliographic Information

Stock markets volatility spillovers during financial crises : a DCC-MGARCH with Skew-t approach

Bala, Dahiru A. and Takimoto, Taro

（Discussion paper series, no. 2016-4）

Faculty of Economics, Kyushu University, 2016

Note

Includes bibliographical references (p. 33-36)

Details

• NCID: BB22016989
• Country Code: ja
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Fukuoka
• Pages/Volumes: 42 p.
• Size: 30 cm
• Parent Bibliography ID:
  • BA48453314