38
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

How volatile are East Asian stocks during high volatility periods?

Pages 319-326 | Published online: 16 Aug 2006

References

References

  • Bautista , C . 2003 . Stock market volatility in the Philippines . Applied Economics Letters , 10 : 315 – 18 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Bollerslev , T , Chou , RY and Kroner , K . 1992 . ARCH modeling in finance . Journal of Econometrics , 52 : 5 – 59 .
  • Cai , J . 1994 . A Markov model of unconditional variance in ARCH . Journal of Business and Economic Statistics , 12 : 309 – 16 .
  • Engle , R . 1982 . Autoregressive conditional heteroscedasticity with estimates of UK inflation . Econometrica , 50 : 987 – 1008 .
  • Gray , S . 1996 . Modeling the conditional distribution of interest rates as a regime-switching process . Journal of Financial Economics , 42 ( 1 ) : 27 – 62 .
  • Hamilton , J . 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 84 .
  • Hamilton , J and Susmel , R . 1994 . Autoregressive conditional heteroskedasticity and changes in regime . Journal of Econometrics , 64 : 307 – 33 .
  • Li , M-YL and Lin , H-WW . 2004 . Estimating value-at-risk via Markov switching ARCH models – an empirical study on stock index returns . Applied Economics Letters , 11 : 679 – 91 .
  • Reksohadiprodjo S 1993 Investing in Indonesia Asian Capital Markets: Dynamics of Growth and World Linkages (Eds) L. Clemente and R. Mariano Asian Securities Industry Institute

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.