Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach

Li, Hong and Majerowska, Ewa (2008) Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach. Research in International Business and Finance, 22(3), pp. 247-266. ISSN (print) 0275-5319

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Item Type: Article
Uncontrolled Keywords: stock market linkages, volatility spillovers, multivariate GARCH model, asymmetric response of volatility
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences > School of Economics (until November 2012)
Depositing User: Cheryl Clark
Date Deposited: 09 Feb 2009 09:04
Last Modified: 09 Feb 2009 09:04
URI: http://eprints.kingston.ac.uk/id/eprint/4639

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