Volatility Co-movement of ASEAN-5 Equity Markets
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KeywordsASEAN-5; Portfolio Diversification; Volatility co-movement;
- 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
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-02 (All new papers)
- NEP-FMK-2010-05-02 (Financial Markets)
- NEP-MIC-2010-05-02 (Microeconomics)
- NEP-SEA-2010-05-02 (South East Asia)
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