Kim, Doseong; Lee, Yoon-Goo; Ruiz, Isabel - In: Emerging Markets Finance and Trade 46 (2010) 2, pp. 116-132
The study of international integration of equity markets has received a great deal of interest. This paper investigates whether returns of forty-one closed-end country funds share a common volatility process with three comparable return series: the underlying net asset value (NAV), U.S. stock...