Modelling return and conditional volatility exposures in global stock markets
Year of publication: |
2006
|
---|---|
Authors: | Cai, Charlie ; Faff, Robert ; Hillier, David ; McKenzie, Michael |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 27.2006, 2, p. 125-142
|
Publisher: |
Springer |
Subject: | Conditional volatility exposures | Emerging market risk | GARCH modelling |
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