Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets
Year of publication: |
2007
|
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Authors: | Daal, Elton ; Naka, Atsuyuki ; Yu, Jung-suk |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 31.2007, 9, p. 2751-2769
|
Subject: | Volatilität | Volatility | Clusteranalyse | Cluster analysis | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | USA | United States | Schwellenländer | Emerging economies | Asien | Asia |
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