MEAN AND VOLATILITY SPILLOVER ANALYSIS AS A PROXY FOR BRIC INTEGRATION
This dissertation examines the mean and volatility spillover effects of BRIC equity indexes and regional and global equity indexes as a proxy for integration. Spillover effects are measured using a two-step GARCH process as set out by Bhar & Nikolova (2007) using the standardised residuals of...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27247/ |