✦ LIBER ✦

Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis

✍ Scribed by Kuttu, Saint

Book ID: 122206928
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 443 KB
Volume: 25
Category: Article
ISSN: 1044-0283
DOI: 10.1016/j.gfj.2014.03.001

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Return, volatility spillovers and dynami

Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

✍ Ramaprasad Bhar; Biljana Nikolova 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 446 KB

Transmission of equity returns and volat

Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis

✍ Andrew Worthington; Helen Higgs 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 125 KB

## Abstract This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indo

Return and Volatility Dynamics in the Sp

Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework

✍ Ramaprasad Bhar 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 130 KB

## Abstract This article provides evidence of linkages between the equity market and the index futures market in Australia, where the futures market has experienced a major structural event due to the futures contract respecification. A bivariate Exponential Generalized Autoregressive Conditional H