Showing 1 - 10 of 28
In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the...
Persistent link: https://www.econbiz.de/10008556924
Persistent link: https://www.econbiz.de/10003641380
Persistent link: https://www.econbiz.de/10003821781
Persistent link: https://www.econbiz.de/10003405131
Persistent link: https://www.econbiz.de/10003935900
Persistent link: https://www.econbiz.de/10003988088
Persistent link: https://www.econbiz.de/10003946478
Persistent link: https://www.econbiz.de/10009658791
Persistent link: https://www.econbiz.de/10002151694
Persistent link: https://www.econbiz.de/10001684472