Market integration and extreme co-movements in APEC emerging equity markets
Author
Abstract
Suggested Citation
DOI: 10.1080/09603100601057870
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ho, Lan-Chih & Burridge, Peter & Cadle, John & Theobald, Michael, 2000. "Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 249-275, May.
- Brian H. Boyer & Tomomi Kumagai & Kathy Yuan, 2006. "How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices," Journal of Finance, American Finance Association, vol. 61(2), pages 957-1003, April.
- de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 213-224, August.
- Pownall, Rachel A. J. & Koedijk, Kees G., 1999. "Capturing downside risk in financial markets: the case of the Asian Crisis," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 853-870, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013.
"Volatility Spillovers and Contagion from Mature to Emerging Stock Markets,"
Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
- Guglielmo Maria Caporale & Marianne Schulze-Ghattas & John Beirne & Nicola Spagnolo, 2008. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," IMF Working Papers 08/286, International Monetary Fund.
- Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Discussion Papers of DIW Berlin 873, DIW Berlin, German Institute for Economic Research.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo.
- Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013.
"Stock and foreign exchange market linkages in emerging economies,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
- Elena Andreou & Maria Matsi & Andreas Savvides, 2013. "Stock and Foreign Exchange Market Linkages in Emerging Economies," University of Cyprus Working Papers in Economics 01-2013, University of Cyprus Department of Economics.
Corrections
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:taf:apfiec:v:18:y:2007:i:2:p:99-113. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.