1 hasil untuk "Burhan F. Yavas"

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

Lidija Dedi; Burhan F. Yavas

Cogent Economics & Finance, Vol. 4 No. 1 · 2016 · Inggris · DOAJ Scopus

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded funds…