Multi-layer spillovers between volatility and skewness in international stock markets over a century of data : the role of disaster risks

Foglia, Matteo; Plakandaras, Vasilios; Gupta, Rangan; Bouri, Elie

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Title:

Multi-layer spillovers between volatility and skewness in international stock markets over a century of data : the role of disaster risks

Series title:

Department of Economics working paper series / Department of Economics, University of Pretoria

Authors:

Foglia, Matteo
Plakandaras, Vasilios
Gupta, Rangan
Bouri, Elie

Document Type:

Book

Place of Publication and Publisher:

Pretoria, South Africa : Department of Economics, University of Pretoria

Year of Publication:

2023

Original URL:

https://www.up.ac.za/media/shared/61/WP/wp_2023_37.zp245253.pdf

Language:

English (eng)

Citation:

Foglia, Matteo/Plakandaras, Vasilios et. al. (2023). Multi-layer spillovers between volatility and skewness in international stock markets over a century of data : the role of disaster risks. Pretoria, South Africa : Department of Economics, University of Pretoria.
https://www.up.ac.za/media/shared/61/WP/wp_2023_37.zp245253.pdf.

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Department of Economics working paper series

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