Multivariate GARCH Models for the Greater China Stock Markets
This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to es...
Saved in:
Main Author: | SONG, Xiaojun |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2009
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/etd_coll/30 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1029&context=etd_coll |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
Similar Items
-
Constant conditional correlation in a bivariate GARCH model: Evidence from the stock markets of China
by: Tsui, A.K., et al.
Published: (2011) -
Volatility spillovers and linkages in Asian stock markets
by: CHOW, Hwee Kwan
Published: (2017) -
Volatility spillovers and linkages in Asian stock markets
by: CHOW-TAN, Hwee Kwan
Published: (2017) -
NON-LINEAR SHRINKAGE AND MULTIVARIATE GARCH: AN EMPIRICAL ASSESSMENT OF CRYPTOCURRENCY'S POSITION IN PORTFOLIO OPTIMIZATION
by: MOHAMMAD HAIKAL BIN MOHAMMAD FAUZI CHEONG
Published: (2021) -
Stock returns volatility in the Tokyo stock exchange
by: Tse, Y.K.
Published: (2011)