A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

George Andrew Karolyi

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

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G. Andrew Karolyi, A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada, Journal of Business & Economic Statistics, Vol. 13, No. 1 (Jan., 1995), pp. 11-25

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