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Shock-dependent conditional skewness in international aggregate stock markets

โœ Scribed by Jing-yi Lai


Book ID
113871814
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
966 KB
Volume
52
Category
Article
ISSN
1062-9769

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This study examines the short-and long-term dependence in the United States and 21 international equity market indexes. Two heteroscedastic-robust testing methods, the modified rescaled range analysis and the rescaled variance ratio test, are employed to test for the existence of dependence. The evi