Volatility spillover in Indonesia, USA, and Japan capital market
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- Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
More about this item
KeywordsVolatility; Volatility Spillover; GARCH;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-30 (All new papers)
- NEP-FMK-2009-08-30 (Financial Markets)
- NEP-SEA-2009-08-30 (South East Asia)
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