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Volatility dependence and contagion in emerging equity markets

✍ Scribed by Sebastian Edwards; Raul Susmel


Book ID
117469944
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
400 KB
Volume
66
Category
Article
ISSN
0304-3878

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This paper analyzes the behavior of time-varying volatility when structural changes are allowed in international stock markets. A model developed by Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 64: 307 -333], the switching autoregresive conditional he