Volatility Transmission: What Does Asia-Pacific Markets Expect?
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More about this item
KeywordsGARCH-BEKK; volatility spillovers; multivariate GARCH;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-07 (All new papers)
- NEP-FMK-2009-03-07 (Financial Markets)
- NEP-SEA-2009-03-07 (South East Asia)
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