Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea
Download full text from publisher
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.
- Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002. "A Test for Volatility Spillovers," Economics and Finance Discussion Papers 02-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, vol. 28(3), pages 1117-1130, May.
- Taufiq Choudhry, 2000. "Day of the week effect in emerging Asian stock markets: evidence from the GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 235-242.
- Wenshwo Fang, 2002. "The effects of currency depreciation on stock returns: evidence from five East Asian economies," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 195-199.
- Dimitris N. Politis, 2004. "A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 283-298, November.
- Sang Jin Lee, 2009. "Volatility spillover effects amongsix Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 501-508.
- Politis, Dimitris N., 2004. "A heavy-tailed distribution for ARCH residuals with application to volatility prediction," University of California at San Diego, Economics Working Paper Series qt7r89639x, Department of Economics, UC San Diego.
More about this item
Keywordsstock market; GARCH model; heavy-tailed distribution; KOSPI;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ods:journl:v:6:y:2017:i:3:p:164-169. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoliy G. Goncharuk) or (Candi Patterson) or (Katrina Wingle). General contact details of provider: http://edirc.repec.org/data/dmonaua.html .