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Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets

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Author Info
Theodossiou, Panayiotis, et al

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Abstract

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Publisher Info
Article provided by Eastern Finance Association in its journal The Financial Review.

Volume (Year): 32 (1997)
Issue (Month): 2 (May)
Pages: 205-24
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Handle: RePEc:bla:finrev:v:32:y:1997:i:2:p:205-24

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Web page: http://www.easternfinance.org/
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Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

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  1. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
  2. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
  3. Liliana Schumacher & Armando Méndez Morales, 2003. "Market Volatility as a Financial Soundness Indicator: An Application to Israel," IMF Working Papers 03/47, International Monetary Fund. [Downloadable!]
Statistics
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This page was last updated on 2009-12-18.

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