The Korean stock market volatility during the currency crisis and the credit crisis
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DOI: 10.1016/j.japwor.2011.09.003
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Cited by:
- Bala A. Dahiru & Pam W. Jim & Kalu N. Nwonyuku, 2017. "Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach," Economics Bulletin, AccessEcon, vol. 37(4), pages 2394-2412.
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More about this item
Keywords
Korean stock market volatility; Currency crisis; Credit crisis; Fad model; Markov switching heteroskedasticity;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
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