stavroula Yfanti

Brunel University London

Kingston Lane

Uxbridge, Middlesex UB8 3PH

United Kingdom

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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
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, Brunel University London, 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