Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets

Author:

Li Yanan1,Giles David E.1

Affiliation:

1. Department of Economics; University of Victoria; Victoria BC Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference33 articles.

1. Risk, time-varying second moments and market efficiency;Attanasio;Review of Economic Studies,1991

2. Good news, bad news and international spillovers of stock return volatility between Japan and the U.S;Bae;Pacific-Basin Finance Journal,1994

3. Multivariate GARCH models: a survey;Bauwens;Journal of Applied Econometrics,2006

4. Testing the CAPM with time-varying risks and returns;Bodurtha;Journal of Finance,1991

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

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