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Regime-switching volatility of six East Asian emerging markets · Study

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ArticleRegime-switching volatility of six East Asian emerging markets

Ping Wang2007

Article2007

Regime-switching volatility of six East Asian emerging markets

Ping Wang · Mike Theobald

63 citations·0/0 files stored·Research in International Business and Finance

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

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1974Money and Capital in Economic Development.1974Shaw, Edward S., Financial Deepening in Economic Development, New York, Oxford University Press, 1973, xii + 260 pp. ($7.50 cloth, $3.50 paper)2000Foreign Speculators and Emerging Equity Markets 1994Autoregressive conditional heteroskedasticity and changes in regime 2002International Asset Allocation With Regime Shifts 1997Emerging equity market volatility 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices

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2018The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives 2011Business confidence and stock returns in the USA: a time-varying Markov regime-switching model 2010Financial Development, Economic Growth and Stock Market Volatility: Evidence from Nigeria and South Africa 2012Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests

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Year2007

Typearticle

Published2007-08-04

VenueResearch in International Business and Finance

ISSN-L0275-5319

Languageen

Citations63

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ribaf.2007.07.001

openalex_workW2027770345

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