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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Главные авторы:	Thi Hoang Anh Nguyen, Thi Thanh Huyen Tran, Ngoc Kim Minh Huynh, Thi Ngoc Tran Nguyen
Формат:	Artigo
Язык:	Inglês
Опубликовано:	Emerald Publishing 2018-08-01
Серии:	Journal of International Economics and Management
Предметы:	volatility spillovers garch-dcc model emerging market financial crisis
Online-ссылка:	https://jiem.ftu.edu.vn/index.php/jiem/article/view/192
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