Measuring volatility spillovers between developed and Southeast Asian emerging stock markets: a multivariate garch approach

In this paper, we measure volatility spillovers among eleven stock markets, including five developed markets (the United States, Japan, Germany, the United Kingdom, Hong Kong) and six Southeast Asian developing markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) over the 25-y...

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Detalhes bibliográficos

Principais autores:	Thi Hoang Anh Nguyen, Thi Thanh Huyen Tran, Ngoc Kim Minh Huynh, Thi Ngoc Tran Nguyen
Formato:	Artigo
Idioma:	Inglês
Publicado em:	Emerald Publishing 2018-08-01
coleção:	Journal of International Economics and Management
Assuntos:	volatility spillovers garch-dcc model emerging market financial crisis
Acesso em linha:	https://jiem.ftu.edu.vn/index.php/jiem/article/view/192
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