Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s42973-020-00051-x.pdf
Reference68 articles.
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3. Andrews, D. W., & Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica: Journal of the Econometric Society, 62, 1383–1414.
4. Anjum, H. (2019). Estimating volatility transmission between oil prices and the US dollar exchange rate under structural breaks. Journal of Economics and Finance, 43(4), 750–763.
5. Aragó-Manzana, V., & Fernández-Izquierdo, M. Á. (2007). Influence of structural changes in transmission of information between stock markets: A European empirical study. Journal of Multinational Financial Management, 17(2), 112–124.
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