A multivariate GARCH analysis of equity returns and volatility in Asian equity markets
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- Xiaojing Zhang & Tao Sun, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR; Evidence from Stock Markets," IMF Working Papers 09/166, International Monetary Fund.
- Ozun, Alper & Turk, Mehmet, 2010. "Leading Economic Determinants of Foreign Trade Volume in Turkish Agriculture Sector," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 11(1), January.
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"Volatility Spillover in India, USA and Japan Investigation of Recession Effects,"
21873, University Library of Munich, Germany.
- Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 47190, University Library of Munich, Germany, revised 17 May 2013.
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More about this item
KeywordsEmerging equity markets; mean and volatility spillovers; multivariate GARCH;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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