Correlations in returns and volatilities in Pacific-Rim stock markets

DOI10.1023/A:1008349012883zbMath0938.91042OpenAlexW1483052594MaRDI QIDQ1970867

Nicholas S. P. Tay, Zhen Zhu

Publication date: 23 March 2000

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008349012883

zbMATH Keywords

stock returnscausality in variances testmultivariate GARCH modelshort-run dynamic analysisVAR analysesvolatilities

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (1)

CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS

This page was built for publication: Correlations in returns and volatilities in Pacific-Rim stock markets