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Dynamic interdependence and volatility transmission of Asian stock markets · Study

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ArticleDynamic interdependence and volatility transmission of Asian stock markets

Francis Haeuck In2001

Article2001

Dynamic interdependence and volatility transmission of Asian stock markets

Francis Haeuck In · Sangbae Kim · Jai Hyung Yoon

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

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1992ARCH modeling in finance 1993Measuring and Testing the Impact of News on Volatility 1990Correlations in Price Changes and Volatility across International Stock Markets 1998Modeling Asymmetric Comovements of Asset Returns 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk 1993Measuring and Testing the Impact of News on Volatility 1995Asymmetric volatility transmission in international stock markets

Cited by

2007Interdependence of international equity variances: Evidence from East Asian markets 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic 2011Stock market correlations between China and its emerging market neighbors 2009Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets 2004International transmission of uncertainty implicit in stock index option prices

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Year2001

Typearticle

Published2001-03-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations92

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1057-5219(00)00045-4

openalex_workW1564887203

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2007

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2008Modelling the interactions across international stock, bond and foreign exchange markets

2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis