Volatility and cross correlation across major stock markets

Journal of Empirical Finance

Volumn 5, Issue 4, 1998, Pages 397-416

  Ramchand, Latha ^a   Susmel, Raul ^a  

^a UNIVERSITY OF HOUSTON   (United States)

Author keywords

C53; Cross correlation; G15; Stock market; Switching ARCH; Volatility

Indexed keywords

EID: 0000845056     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(98)00003-6     Document Type: Article

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