Correlations in returns and volatilities in Pacific-Rim stock markets

Open Economies Review

Volumn 11, Issue 1, 2000, Pages 27-47

  Tay, Nicholas S P ^a   Zhu, Zhen ^b  

^a UNIVERSITY OF SAN FRANCISCO   (United States)

^b UNIVERSITY OF OKLAHOMA   (United States)

Author keywords

Causality in variance test; M GARCH model; Short run dynamic analysis; Stock return and volatility; VAR analysis

Indexed keywords

CAPITAL FLOW; MARKET CONDITIONS; STATISTICAL ANALYSIS; STOCK MARKET;

ASIA; UNITED STATES;

EID: 0034014182     PISSN: 09237992     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1008349012883     Document Type: Article

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