## 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
β¦ LIBER β¦
The Progress of Financial Market Integration in East Asia
β Scribed by Saifuzzaman Ibrahim
- Book ID
- 106570518
- Publisher
- Springer
- Year
- 2011
- Tongue
- English
- Weight
- 218 KB
- Volume
- 18
- Category
- Article
- ISSN
- 1614-4007
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