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ArticleDynamic conditional relationships between developed and emerging markets

Wonho Song2018

Article2018

Dynamic conditional relationships between developed and emerging markets

Wonho Song · Sung Yong Park · Doojin Ryu

27 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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

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References

1988Testing for a Unit Root in Time Series Regression 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 1989Why Does Stock Market Volatility Change Over Time?2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes

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Year2018

Typearticle

Published2018-05-08

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2018.05.007

openalex_workW2802514792

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