Ergun, Ugur; Nor, Abu Hassan Shaari Mohd - In: Asian Academy of Management Journal of Accounting and … 6 (2010) 2, pp. 19-33
The main aim of this paper is to investigate the dynamic relationship and volatility spillover between the stock markets in Turkey and the United States under the conditions for Turkey's accession to the European Union. This study uses bivariate cointegration, ECM, CGARCH and threshold...
