Cross-autocorrelation in the new zealand stock market
Cross-autocorrelation in the New Zealand stock market: Applied Financial Economics: Vol 17, No 3
Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia. Asian Flu or Wall Street Virus? International Monetary Fund , 1 sept.
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: Hong Kong SAR , Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the "stock market correction" period.
There is also evidence of structural breaks in the stock price and volatility dynamics induced during the "tech bubble" period. Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia","authors": Price and Volatility Spillovers of the Tech Chan-Lau , Iryna V.
Ivaschenko, International Monetary Fund. International Capital Markets Dept, International Monetary Fund.
Ivaschenko , International Monetary Fund. International Capital Markets Dept , International Monetary Fund.
Western Hemisphere Dept Affichage d'extraits - Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia Mr. Ivaschenko International Monetary Fund , 1 sept.
How to Measure a Time Delay Using Cross Correlation?Asian Flu Or Wall Street Virus? Asian flu or Wall Street virus?: