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ArticleInformation and volatility linkage under external shocks

V.T. Alaganar2002

Article2002

Information and volatility linkage under external shocks

V.T. Alaganar · Ramaprasad Bhar

35 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy 1974Why Not Diversify Internationally Rather Than Domestically?1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements 1994Forecasting International Equity Correlations 1996International Market Correlation and Volatility 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

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Year2002

Typearticle

Published2002-01-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations35

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1057-5219(01)00070-9

openalex_workW1543269396

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