The Multivariate GARCH Model and its Application to East Asian Financial Market Integration

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning ◽

10.1142/9789811202391_0123 ◽

2020 ◽

pp. 4209-4254

Author(s):

Yoshihiko Tsukuda ◽

Junji Shimada ◽

Tatsuyoshi Miyakoshi

Keyword(s):

Financial Market ◽

Market Integration ◽

Garch Model ◽

Multivariate Garch ◽

Financial Market Integration ◽

Multivariate Garch Model

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East Asian Financial Market Integration: Reality or Illusions?

Jurnal Pengurusan ◽

10.17576/pengurusan-2006-25-01 ◽

2006 ◽

Vol 25 ◽

pp. 3-17

Keyword(s):

Financial Market ◽

Market Integration ◽

Financial Market Integration

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European Responses to Globalization and Financial Market Integration

10.1057/9780230535824 ◽

2000 ◽

Author(s):

Amy Verdun

Keyword(s):

Financial Market ◽

Market Integration ◽

Financial Market Integration

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Assessing Financial Market Integration in Asia - Equity and Bond Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1330711 ◽

2008 ◽

Author(s):

Laurence Fung ◽

Chi-Sang Tam ◽

Ip-wing Yu

Keyword(s):

Financial Market ◽

Market Integration ◽

Bond Markets ◽

Financial Market Integration

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European Financial Market Integration in the Wake of the Sovereign Debt Crisis: An Industry Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.1570488 ◽

2011 ◽

Author(s):

Söhnke M. Bartram ◽

Yaw-Huei Wang

Keyword(s):

Financial Market ◽

Sovereign Debt ◽

Market Integration ◽

Debt Crisis ◽

Sovereign Debt Crisis ◽

Industry Analysis ◽

Financial Market Integration

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Beneath the Gold Points: European Financial Market Integration, 1844-1870

SSRN Electronic Journal ◽

10.2139/ssrn.3057367 ◽

2017 ◽

Author(s):

Vincent Bignon ◽

Jinzhao Chen ◽

Stefano Ugolini

Keyword(s):

Financial Market ◽

Market Integration ◽

Financial Market Integration

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Financial Market Integration in the Post-FSAP Era

SSRN Electronic Journal ◽

10.2139/ssrn.901565 ◽

2006 ◽

Author(s):

Michel Tison

Keyword(s):

Financial Market ◽

Market Integration ◽

Financial Market Integration

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Model Uncertainty, Financial Market Integration and the Home Bias Puzzle

SSRN Electronic Journal ◽

10.2139/ssrn.920660 ◽

2008 ◽

Author(s):

Lieven Baele ◽

Crina Pungulescu ◽

Jenke R. ter Horst

Keyword(s):

Financial Market ◽

Model Uncertainty ◽

Market Integration ◽

Home Bias ◽

Financial Market Integration ◽

Home Bias Puzzle

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Notice of Retraction: Study on time varying conditional correlations of stock market returns based on multivariate GARCH model

2010 IEEE International Conference on Advanced Management Science(ICAMS 2010) ◽

10.1109/icams.2010.5553092 ◽

2010 ◽

Author(s):

Yu Lin ◽

Yanxiang Chen

Keyword(s):

Stock Market ◽

Garch Model ◽

Multivariate Garch ◽

Time Varying ◽

Market Returns ◽

Stock Market Returns ◽

Multivariate Garch Model ◽

Conditional Correlations

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Asian financial market integration and the role of Chinese financial market

International Review of Economics & Finance ◽

10.1016/j.iref.2018.10.012 ◽

2019 ◽

Vol 59 ◽

pp. 490-499 ◽

Author(s):

Byung-Joo Lee

Keyword(s):

Financial Market ◽

Market Integration ◽

Financial Market Integration

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Model uncertainty, financial market integration and the home bias puzzle

Journal of International Money and Finance ◽

10.1016/j.jimonfin.2007.03.007 ◽

2007 ◽

Vol 26 (4) ◽

pp. 606-630 ◽

Author(s):

Lieven Baele ◽

Crina Pungulescu ◽

Jenke Ter Horst

Keyword(s):

Financial Market ◽

Model Uncertainty ◽

Market Integration ◽

Home Bias ◽

Financial Market Integration ◽

Home Bias Puzzle

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