Browsing The Economic and Social Review, Vol. 29, No. 4, October, 1998 by Author "Twomey, Cian E."
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Identifying the source of mean and volatility spillovers in Irish equities: a multivariate GARCH analysis
Gallagher, Liam A.; Twomey, Cian E. (Economic & Social Studies, Dublin, 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 ...