Multivariate time-varying parameter modelling for stock markets-Reference-Cited by-同舟云学术

Multivariate time-varying parameter modelling for stock markets

Published:2020-06-23 Issue:2 Volume:61 Page:947-972
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Neslihanoglu Serdar^ORCID,Bekiros Stelios,McColl John,Lee Duncan

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s00181-020-01896-2.pdf

Reference37 articles.

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3. Bekaert G, Harvey CR (1997) Emerging equity market volatility. NBER working papers 5307, National Bureau of Economic Research, Inc

4. Bos T, Newbold P (1984) An empirical investigation of the possibility of stochastic systematic risk in the market model. J Bus 57(1):35–41

5. Brooks RD, Faff RW, Lee JHH (1992) The form of time variation of systematic risk: some Australian evidence. Appl Financ Econ 2(4):191–198

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