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2007-04-04Buch DOI: 10.18452/4034
Who Leads Financial Markets?
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-15T23:23:41Z
dc.date.available2017-06-15T23:23:41Z
dc.date.created2007-04-11
dc.date.issued2007-04-04
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4686
dc.description.abstractThe present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows identifying the contemporaneous effects between the daily variables. Structural VARs or VECMs can therefore give answers to the question of financial markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is able to uncover otherwise neglected effects in the reverse direction.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectFinancial Marketseng
dc.subjectStructural EGARCHeng
dc.subjectUnited Stateseng
dc.subjectEuro Zoneeng
dc.subject.ddc330 Wirtschaft
dc.titleWho Leads Financial Markets?
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10076636
dc.identifier.doihttp://dx.doi.org/10.18452/4034
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue15
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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