stavroula Yfanti

Brunel University London

Kingston Lane

Uxbridge, Middlesex UB8 3PH

United Kingdom

  • Brunel University London

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Scholarly Papers (1)

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Modelling Returns and Volatilities During Financial Crises: A Time Varying Coefficient Approach

Number of pages: 36 Posted: 29 Mar 2014
Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali, Michail Karoglou and stavroula Yfanti
Brunel University London - Economics and Finance, The Center for Research and Applications of Nonlinear Systems (CRANS) Department of Mathematics, Division of Applied Analysis, University of Patras, University of Sussex Business School, Aston University and Brunel University London
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Abstract:

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financial crisis, stochastic difference equations, structural breaks, time varying coefficients, volatility spillovers