Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets
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- Guney, Yilmaz & Kallinterakis, Vasileios & Komba, Gabriel, 2017. "Herding in frontier markets: Evidence from African stock exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 152-175.
More about this item
KeywordsReturns and volatility linkages; Factor Analysis (FA); Vector Autoregressive (VAR); Financial Stability; asymmetric GARCH.;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AFR-2012-08-23 (Africa)
- NEP-ALL-2012-08-23 (All new papers)
- NEP-FMK-2012-08-23 (Financial Markets)
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