Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors

Japan and the World Economy

Volumn 22, Issue 4, 2010, Pages 228-234

  Choudhry, Taufiq ^a   Lu, Lin ^a   Peng, Ke ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Asian financial crisis; BEKK model; GARCH; Time varying beta; Volatility

Indexed keywords

EID: 78649328161     PISSN: 09221425     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.japwor.2010.06.003     Document Type: Article

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