MEAN AND VOLATILITY SPILLOVER ANALYSIS AS A PROXY FOR BRIC INTEGRATION

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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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Bibliographic Details
Main Author:	Samuel, Andrews
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27247/

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