Korkmaz, Turhan; Çevik, Emrah Ismail - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 87-106
This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news...
