Stock Market Volatility: Examining North America, Europe and Asia
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsMultivariate GARCH; Volatility Spillover; comovement;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
- NEP-CFN-2004-10-30 (Corporate Finance)
- NEP-EEC-2004-10-30 (European Economics)
- NEP-ETS-2004-10-30 (Econometric Time Series)
- NEP-RMG-2004-10-30 (Risk Management)
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