Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region
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More about this item
KeywordsCommon Component; Volatility; GARCH model;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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