An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries

Publié en ligne: 04 avr. 2017

Pages: 119 - 134

Reçu: 05 déc. 2015

Accepté: 06 oct. 2016

DOI: https://doi.org/10.1515/foli-2016-0029

Mots clés

GARCH model, contagion effect, economic development

© 2016 University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.