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Common stochastic trends and volatility in Asian-Pacific equity markets · Study

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ArticleCommon stochastic trends and volatility in Asian-Pacific equity markets

Ming‐Shiun Pan1999

Article1999

Common stochastic trends and volatility in Asian-Pacific equity markets

Ming‐Shiun Pan · Yue Liu

59 citations·0/0 files stored·Global Finance Journal

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

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 2010Critical Values for Cointegration Tests 1990Correlations in Price Changes and Volatility across International Stock Markets

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2004The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange 2005COINTEGRATION OF STOCK MARKETS BETWEEN NEW ZEALAND, AUSTRALIA AND THE G7 ECONOMIES: SEARCHING FOR CO-MOVEMENT UNDER STRUCTURAL CHANGE 2008Convergence and interdependence between ASEAN-5 stock markets 2005Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia

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Year1999

Typearticle

Published1999-09-01

VenueGlobal Finance Journal

ISSN-L1044-0283

Languageen

Citations59

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1044-0283(99)00012-5

openalex_workW2018236392

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2004

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