STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US
Year of publication: |
2003
|
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Authors: | Busetti, Giorgio ; Manera, Matteo |
Publisher: |
Milano : Fondazione Eni Enrico Mattei (FEEM) |
Subject: | Aktienmarkt | Preiskonvergenz | ARCH-Modell | Ostasien | Japan | USA | Autokorrelation | STAR-GARCH models | stock market integration | Pacific-Basin capital markets | outliers |
Series: | Nota di Lavoro ; 43.2003 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/118072 [Handle] RePEc:fem:femwpa:2003.43 [RePEc] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; F36 - Financial Aspects of Economic Integration |
Source: |
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