Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets
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KeywordsJumps; Volatility; Leverage effects; Emerging markets; Asia; Equity markets;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-03 (All new papers)
- NEP-ETS-2005-04-03 (Econometric Time Series)
- NEP-FIN-2005-04-03 (Finance)
- NEP-FMK-2005-04-03 (Financial Markets)
- NEP-SEA-2005-04-03 (South East Asia)
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