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Volatility and price change spillover effects across the developed and emerging markets · Study

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ArticleVolatility and price change spillover effects across the developed and emerging markets

K.C. John Wei1995

Article1995

Volatility and price change spillover effects across the developed and emerging markets

K.C. John Wei · Yu-Jane Liu · Guey-Shiang Chaung

118 citations·0/0 files stored·Pacific-Basin Finance Journal

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1965The Behavior of Stock-Market Prices 1993Geographic Localization of Knowledge Spillovers as Evidenced by Patent Citations 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1988A Capital Asset Pricing Model with Time-Varying Covariances

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1996Political risk and stock price volatility: The case of Hong Kong 2000The interaction and volatility asymmetry of unexpected returns in the greater China stock markets 2008Interdependence of ASEAN-5 Stock Markets from the US and Japan 2006Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets 2017Market integration and financial linkages among stock markets in Pacific Basin countries

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Year1995

Typearticle

Published1995-05-01

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations118

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0927-538x(94)00029-7

openalex_workW2047313863

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2004

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