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Volatility dependence and contagion in emerging equity markets · Study

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ArticleVolatility dependence and contagion in emerging equity markets

Sebastián Edwards2001

Article2001

Volatility dependence and contagion in emerging equity markets

Sebastián Edwards · Raúl Susmel

251 citations·0/0 files stored·Journal of Development Economics

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

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993Measuring and Testing the Impact of News on Volatility 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1990Correlations in Price Changes and Volatility across International Stock Markets 1994Autoregressive conditional heteroskedasticity and changes in regime 1995Is the correlation in international equity returns constant: 1960–1990?1990Transmission of Volatility between Stock Markets

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Year2001

Typearticle

Published2001-12-01

VenueJournal of Development Economics

ISSN-L0304-3878

Languageen

Citations251

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-3878(01)00172-9

openalex_workW1965617878

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