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Time-varying betas and volatility persistence in International Stock markets

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Author Info
Koutmos, Gregory
Lee, Unro
Theodossiu, Panayiotis
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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 46 (1994)
Issue (Month): 2 (May)
Pages: 101-112
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Handle: RePEc:eee:jebusi:v:46:y:1994:i:2:p:101-112

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  1. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 181-203, August. [Downloadable!] (restricted)
  2. Andrew Worthington & Helen Higgs, 2005. "Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas," School of Economics and Finance Discussion Papers and Working Papers Series 201, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  3. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 249-274, September. [Downloadable!] (restricted)
  4. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, China Economic Research Center, Stockholm School of Economics.
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