Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets-Reference-Cited by-同舟云学术

Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets

Published:2006-04 Issue:2 Volume:42 Page:4-17
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

CHANCHAROENCHAI KANOKWAN¹,DIBOOGLU SEL²

Affiliation:

1. a Kasetsart University, Bangkok, Thailand

2. b University of Missouri-St. Louis

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X420201

Reference13 articles.

1. Baba, Y.; R.F. Engle; D.F. Kraft; and K.F. Kroner. 1989. "Multivariate Simultaneous Generalized ARCH." Working Paper, University of California, San Diego.

2. Bollerslev, T.; R.F. Engle; and J.M. Wooldridge. 1988. "A Capital Asset Pricing Model with Time-Varying Covariance." Journal of Political Economy 96, no. 1 (February): 116- 131.

3. Chan, K.C.; G.A. Karolyi; and R.M. Stulz. 1992. "Global Financial Markets and the Risk Premium on U.S. Equity." Journal of Financial Economics 32, no. 2 (October): 137-167.

4. Charumilind, C.; R. Kali; and Y. Wiwattanakantang. 2006. "Connected Lending: Thailand Before the Financial Crisis." Journal of Business 79, no. 1 (January): 181-218.

5. Cohen, K.; G. Hawawini; S. Maier; R. Schwartz; and D. Whitcomb. 1986. The Microstructure of Security Markets. Englewood Cliffs, NJ: Prentice Hall.

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