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Volumn 12, Issue 5, 2005, Pages 319-326

How volatile are East Asian stocks during high volatility periods?

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL CRISIS; FINANCIAL MARKET; INVESTMENT; STOCK MARKET;

EID: 17844402265     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850500044138     Document Type: Article
Times cited : (6)

References (10)
  • 1
    • 0037729008 scopus 로고    scopus 로고
    • Stock market volatility in the Philippines
    • Bautista, C. (2003) Stock market volatility in the Philippines, Applied Economics Letters, 10, 315-18.
    • (2003) Applied Economics Letters , vol.10 , pp. 315-318
    • Bautista, C.1
  • 2
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroscedasticity
    • Bollerslev, T. (1986) Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 4
    • 84892911208 scopus 로고
    • A Markov model of unconditional variance in ARCH
    • Cai, J. (1994) A Markov model of unconditional variance in ARCH, Journal of Business and Economic Statistics, 12, 309-16.
    • (1994) Journal of Business and Economic Statistics , vol.12 , pp. 309-316
    • Cai, J.1
  • 5
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of UK inflation
    • Engle, R. (1982) Autoregressive conditional heteroscedasticity with estimates of UK inflation, Econometrica, 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.1
  • 6
    • 0030242133 scopus 로고    scopus 로고
    • Modeling the conditional distribution of interest rates as a regime-switching process
    • Gray, S. (1996) Modeling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics, 42(1), 27-62.
    • (1996) Journal of Financial Economics , vol.42 , Issue.1 , pp. 27-62
    • Gray, S.1
  • 7
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton, J. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-84.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.1
  • 8
    • 21144448250 scopus 로고
    • Autoregressive conditional heteroskedasticity and changes in regime
    • Hamilton, J. and Susmel, R. (1994) Autoregressive conditional heteroskedasticity and changes in regime, Journal of Econometrics, 64, 307-33.
    • (1994) Journal of Econometrics , vol.64 , pp. 307-333
    • Hamilton, J.1    Susmel, R.2
  • 9
    • 4644220308 scopus 로고    scopus 로고
    • Estimating value-at-risk via Markov switching ARCH models - An empirical study on stock index returns
    • Li, M.-Y. L. and Lin, H.-W. W. (2004) Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns, Applied Economics Letters, 11, 679-91.
    • (2004) Applied Economics Letters , vol.11 , pp. 679-691
    • Li, M.-Y.L.1    Lin, H.-W.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.