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We empirically analyze asset price boom-bust cycles over a long-run period of 1896-2014 for the U.S., the Netherlands, Norway and Sweden. We focus on macro-financial linkages to understand if these are common phenomena during financial crises, or if the linkage was simply amplified during the...
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Correlations between international equity markets are often claimed to increase during periods of high volatility …
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conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and … in the conditional volatility obtained by Koutmos and Booth (1995) although each of them analyzed only one spillover … volatility in the US market with the SV model is asymmetrically transmitted to the volatility in the Japanese market …
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