Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach-Reference-Cited by-同舟云学术

Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach

Published:2006-07 Issue:4 Volume:42 Page:78-89
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Al-Deehani Talla¹,Moosa Imad A.²

Affiliation:

1. a Department of Finance, Kuwait University

2. b La Trobe University

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X420404

Reference17 articles.

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2. Breidt, F.J., and Carriquiry, A.L. 1996. "Improved Quasi-Maximum Likelihood Estimation for Stochastic Volatility Models." In Modelling and Prediction: Honoring Seymour Geisser, ed. J.C. Lee and A. Zellner, pp. 228-247. New York: Springer-Verlag.

3. Conover, C.M.; G.R. Jensen; and R.R. Johnson. 2002. "Emerging Markets: When Are They Worth it?" Financial Analysts Journal 58, no. 2 (March-April): 86-95.

4. Eun, C.S., and S. Shim. 1989. "International Transmission of Stock Market Movements." Journal of Financial and Quantitative Analysis 24, no. 2: 41-56.

5. Ghyles, E.; A.C. Harvey; and E. Renault. 1996. "Stochastic Volatility." In Statistical Methods in Finance, ed. C.R. Rao and G.S. Maddala, pp. 119-191. Amsterdam: North-Holland.

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