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Applied Economics Letters Volume 18, 2011 - Issue 14
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Original Articles

Stock returns in emerging markets and the use of GARCH models

Claudio A. Bonilla School of Economics and Business, University of Chile, Santiago, ChileCorrespondence[email protected]
&
Jean Sepúlveda School of Business and Economics, Universidad del Desarrollo, Ainavillo 456, Concepción, na Chile, Chile
Pages 1321-1325 | Published online: 09 Mar 2011

Citations (12)

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Read on this site (2)

Heitham Al-Hajieh. (2023) Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries. Cogent Economics & Finance 11:1.
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Shubham Kakran, Arpit Sidhu, Parminder Kaur Bajaj & Vishal Dagar. (2023) Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach. Cogent Economics & Finance 11:2.
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Articles from other publishers (10)

Sudhi Sharma, Vaibhav Aggarwal & Miklesh Prasad Yadav. (2021) Comparison of linear and non-linear GARCH models for forecasting volatility of select emerging countries. Journal of Advances in Management Research 18:4, pages 526-547.
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Cristi Spulbar, Jatin Trivedi & Ramona Birau. (2020) INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY. Journal of Business Economics and Management 21:6, pages 1561-1592.
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Houda Ghamlouch, Mitra Fouladirad & Antoine Grall. (2018) Prognostics for non-monotonous health indicator data with jump diffusion process. Computers & Industrial Engineering 126, pages 1-15.
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Raúl de Jesús Gutiérrez, Edgar Ortiz Calisto & Oswaldo García Salgado. (2017) Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America. Contaduría y Administración 62:4, pages 1081-1099.
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Raúl de Jesús Gutiérrez, Edgar Ortiz Calisto & Oswaldo García Salgado. (2017) Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina. Contaduría y Administración 62:4, pages 1063-1080.
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De-Chih Liu & Chih-Yun Liu. (2016) The source of stock return fluctuation in Taiwan. The Quarterly Review of Economics and Finance 61, pages 77-88.
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Yu Wang & Lei Liu. (2016) Spillover effect in Asian financial markets: A VAR-structural GARCH analysis. China Finance Review International 6:2, pages 150-176.
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Arturo Lorenzo Valdés. (2016) Exceso de confianza como determinante de la volatilidad en mercados accionarios latinoamericanos. Contaduría y Administración 61:2, pages 324-333.
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Elena Rusticelli, Semei Coronado & Leonardo Gatica Arreola. 2016. Financial Deepening and Post-Crisis Development in Emerging Markets. Financial Deepening and Post-Crisis Development in Emerging Markets 135 148 .
Yu Wang, Lei Liu & Guangli Lu. (2012) Spillover Effect in Asian Financial Markets 1992-2012: Through Var-Structural GARCH Model. SSRN Electronic Journal.
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