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This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant...
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This paper presents evidence of equity market linkages in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. I apply a multivariate asymmetric EGARCH model. Empirical results indicate significant return and...
Persistent link: https://www.econbiz.de/10012997279
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