Volatility Modeling and Spillover: The Turkish and Russian Stock Markets
This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short memory (GARCH, EGARCH, GJR-GARCH, APARCH) and lo...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Istanbul University Press
2024-04-01
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| Series: | Istanbul Business Research |
| Subjects: | |
| Online Access: | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/864592F84C384A1E8A99626C8D5FFAEE |
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