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In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modeling the multivariate relationships of volatility among markets. Extending the framework of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) we compute spillover indexes directly from the series of returns considering the time-variant structure...
We examine the impact of significant news events during the 2007–2008 financial crisis on the abnormal stock returns for portfolios of financial and real sector firms. We estimate financial crisis event announcement abnormal returns in the context of an asset-pricing model similar to Fama and French (J Financ Econ 33:3–56, 1993) and Carhart (J Finance 52:57–82, 1997). Our results document significant...
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