An analysis of contagion effect on ASEAN stock market using multivariate markov switching DCC GARCH
© 2019 by the Mathematical Association of Thailand. All rights reserved. Contagion effect is a transmission of volatility from shocks arising in one country to other countries. Volatility transmission particularly occurs in emerging countries like the ASEAN. In this study, we investigate the contagi...
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| Main Authors: | , |
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| 格式: | 雜誌 |
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2019
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068509396&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65686 |
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| 機構: | Chiang Mai University |