Browsing Theses and Dissertations(library) by Author "Narayanasamy, Arun Prasath"
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Threshold Effects In Volatility Spillovers: The Case Of Equity, Bond And Foreign Exchange Markets
Narayanasamy, Arun Prasath (Finance & Real Estate, 2012-07-25)Most research on volatility spillovers across countries and various asset class returns model volatility as conditional variance and assume a linear relationship in spillovers. The risk measured as conditional variance is ...