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Volatility linkage across global equity markets

โœ Scribed by Ding, Liang; Huang, Yirong; Pu, Xiaoling


Book ID
124100920
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
768 KB
Volume
25
Category
Article
ISSN
1044-0283

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โœ Raul Susmel ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 328 KB ๐Ÿ‘ 2 views

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