Stochastic volatility and time-varying country risk in emerging markets

European Journal of Finance

Volumn 15, Issue 3, 2009, Pages 337-363

  Johansson, Anders C ^a,b  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b UNIVERSITY OF GOTHENBURG   (Sweden)

Author keywords

Conditional beta; Emerging markets; Markov chain Monte Carlo; Multivariate stochastic volatility

Indexed keywords

EID: 67650942033     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470802466006     Document Type: Article

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