The comovements of stock markets in Hung
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Martin Scheicher
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Article
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2001
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John Wiley and Sons
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English
โ 168 KB
## Abstract In this paper, we study the regional and global integration of stock markets in Hungary, Poland and the Czech Republic. We estimate a vector autoregression with a multivariate GARCH component and perform a variety of diagnostic tests. Our main empirical result is the existence of limite