Long-Run Comovements in East Asian Stock Market Volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s11079-016-9401-4.pdf
Reference47 articles.
1. Abbas Q, Khan S, Shah SZA (2013) Volatility transmission in regional Asian stock markets. Emerg Mark Rev 16:66–77
2. Aloy M, De Truchis G, Dufrénot G, Keddad B (2014) Shift-volatility transmission in East Asian equity markets: New indicators. In: Dufrénot G, Jawadi F., Louhichi W. (eds) Market Microstructure and Nonlinear Dynamics. Springer International Publishing
3. Andersen TG, Bollerslev T, Diebold FX, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71:579–625
4. Baele L (2005) Volatility spillover effects in European equity markets. J Financ Quant Anal 40:373–401
5. Baele L, Bekaert G, Inghelbrecht K (2010) The determinants of stock and bond return comovements. Rev Financ Stud 23:2374–2428
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