𝔖 Bobbio Scriptorium
✦   LIBER   ✦

International transmission of stock exchange volatility: Empirical evidence from the Asian crisis

✍ Scribed by Ángeles Fernández-Izquierdo; Juan Angel Lafuente

Book ID
116511767
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
241 KB
Volume
15
Category
Article
ISSN
1044-0283

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The stochastic volatility in mean model:
The stochastic volatility in mean model: empirical evidence from international stock markets
✍ Professor Siem Jan Koopman; Eugenie Hol Uspensky 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 2 views

## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens