Browsing Economic and Social Review Archive: Complete Collection 1969- by Subject "Multivariate analysis"
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Identifying the source of mean and volatility spillovers in Irish equities: a multivariate GARCH analysis
(Economic & Social StudiesDublin, 1998)This paper, using a multivariate VAR-GARCH analysis, examines the role of the UK stock market in the price behaviour of the ten largest Irish stocks. We identify the source of mean and volatility spillovers in Irish stocks ...