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Stock market volatility and the crash of 1987: evidence from six emerging markets

  • Choudhry, Taufiq
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-3VWC59P-7/2/521f40628095cfefdf167f4f1c13a4ab
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 15 (1996)
    Issue (Month): 6 (December)
    Pages: 969-981

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    Handle: RePEc:eee:jimfin:v:15:y:1996:i:6:p:969-981
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers t10, Columbia - Center for Futures Markets.
    2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
    4. Engle, Robert F, 1990. "Stock Volatility and the Crash of '87: Discussion," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 103-06.
    5. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    6. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
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