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Macroeconomic interdependence in East Asia

โœ Scribed by Jun Nagayasu


Book ID
113681412
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
366 KB
Volume
22
Category
Article
ISSN
0922-1425

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๐Ÿ“œ SIMILAR VOLUMES


Market interdependence and financial vol
โœ Giampiero M. Gallo; Margherita Velucchi ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 233 KB

## Abstract In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the