Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea
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References listed on IDEAS
- Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2002.
"A test for volatility spillovers,"
Elsevier, vol. 76(1), pages 77-84, June.
- Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002. "A Test for Volatility Spillovers," Public Policy Discussion Papers 02-04, Economics and Finance Section, School of Social Sciences, Brunel University.
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More about this item
Keywordsstock market; GARCH model; heavy-tailed distribution; KOSPI;
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