Last edited by Kazralmaran
Thursday, February 6, 2020 | History

2 edition of Volatility dependence and contagion in emerging equity markets found in the catalog.

Volatility dependence and contagion in emerging equity markets

Sebastian Edwards

Volatility dependence and contagion in emerging equity markets

  • 94 Want to read
  • 40 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Stocks -- Prices -- Latin America.,
  • Rate of return -- Latin America.,
  • Contagion (Social psychology) -- Economic aspects -- Latin America.,
  • Capital movements -- Latin America.

  • Edition Notes

    StatementSebastian Edwards, Raul Susmel.
    SeriesNBER working paper series -- no. 8506, Working paper series (National Bureau of Economic Research) -- working paper no. 8506.
    ContributionsSusmel, Raul, 1962-, National Bureau of Economic Research.
    The Physical Object
    Pagination41 p. :
    Number of Pages41
    ID Numbers
    Open LibraryOL22427646M

    Autoregressive conditional heteroscedasticity with estimates of the variance of U. Journal of Asian Economics, 13, 94— When the apparent epicentres of these outbreaks are revealed to be hospitals and clinics controlled by the same for-profit giant that cannibalized his old ophthalmology practice, Stapleton fears he has stumbled upon a diabolic conspiracy of catastrophic proportions: Could the for-profit giant be engaged in the systematic elimination of its more costly subscribers? Kim, S.

    Sims, C. International Review of Financial Analysis 17, Ben Rejeb, A. Kearney, C.

    International Journal of Finance and Economics 7, Karolyi, G. Capital flows to emerging markets: is there evidence of contagion effects? Time-varying world market integration.


Share this book
You might also like
Dancing dervish

Dancing dervish

1836 facts about the Alamo and the Texas War for Independence

1836 facts about the Alamo and the Texas War for Independence

working conference on the Union of American Methodism.

working conference on the Union of American Methodism.

Working out with weights

Working out with weights

mini-bonsai hobby

mini-bonsai hobby

Highland Park Presbyterian Church

Highland Park Presbyterian Church

Young Jazz Ensemble Collection for 3rd B-Flat Trumpet

Young Jazz Ensemble Collection for 3rd B-Flat Trumpet

Where justice dwells

Where justice dwells

Childrens Britannica - Volume 12.

Childrens Britannica - Volume 12.

ballad of the white horse

ballad of the white horse

Pigeons and how to keep them

Pigeons and how to keep them

cost and financing of social security

cost and financing of social security

Water music

Water music

Volatility dependence and contagion in emerging equity markets by Sebastian Edwards Download PDF Ebook

Computational Statistics and Data Analysis, 52, — When the apparent epicentres of these outbreaks are revealed to be hospitals and clinics controlled by the same for-profit giant that cannibalized his old ophthalmology practice, Stapleton fears he has stumbled upon a diabolic conspiracy of catastrophic proportions: Could the for-profit giant be engaged in the systematic elimination of its more costly subscribers?

Volatility in the transition markets of central Europe. Global Finance Journal 11, Read Count: Contagion by Robin Cook Book Resume: From the undisputed master of the medical thriller comes the story of a deadly epidemic spread not merely by microbes but by sinister sabotage — a terrifying cautionary tale for the millennium as the health care giants collide.

This is inconsistent with theoretical models such as the CAPM, which predict a positive relationship.

Volatility dependence and contagion in emerging equity markets

Business cycle durations. Cheol, S. Ranciere, R. Ben Rejeb, A. Calvo, S.

Recent Academic and Policy Papers

Emerging equity market volatility. Global Finance Journal 7, Econometrica 50, Baltimore: Johns Hopkins University Press. Financial liberalization and stock market volatility in selected developing countries. Engle, R. American Economic Review 89, Macroeconomics and reality.

Mean and volatility spillover Volatility dependence and contagion in emerging equity markets book in the U. Please note that corrections may take a couple of weeks to filter through the various RePEc services. Pritsker, M. Interdependence and volatility spillovers under market liberalization: the case of Istanbul stock exchange.

When requesting a correction, please mention this item's handle: RePEc:eee:deveco:vyip Market deregulations, volatility and spillover effects: experiences from emerging stock markets, chapter 6 in Motamen-Samadian, S.

Eichengreen, B. Journal of International Money and Finance, 19, — Volatility in emerging stock markets. International Review of Financial Analysis 17, Volatility dependence and contagion in emerging equity Volatility dependence and contagion in emerging equity markets book current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier.

The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement of volatility.

Results from the Cited by: 1. May 06,  · The volatility effect appears to be growing stronger over time, which we argue might be related to the increased delegated portfolio management in emerging markets. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets, which argues against a common-factor tjarrodbonta.com by: Downloadable!

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on."Volatility Dependence and Contagion in Emerging Equity Markets" (with Pdf Edwards), Journal of Development Economics, Vol.

66, December Download working paper (PDF File) "Extreme Observations and Diversification in Emerging Markets," Journal of International Money and Finance, Vol. 20, December May 06,  · The download pdf effect appears to be growing stronger over time, which we argue might be related to the increased delegated portfolio management in emerging markets.

Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets, which argues against a common-factor tjarrodbonta.com by: Weekly equity returns and ebook in the Emerging Markets from July to Ebook are obtained from the Russell Emerging Markets Indices by Russell Investments (Egger, ) 2.

The regions included in the indices are Asia, Europe, Africa, the Middle East, and Latin America. A full list of countries is included in Appendix A.