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Original Articles

Volatility spillover effects amongsix Asian countries

Pages 501-508 | Published online: 26 Feb 2009

References

  • Bollerslev , T. , Engle , R. F. and Wooldridge , J. M. 1988 . A capital-asset pricing model with time-varying covariances . Journal of Political Economy , 96 : 116 – 31 .
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  • Johnson , R. and Soenen , L. 2002 . Asian economic integration and stock market comovement . The Journal of Financial Research , 25 : 141 – 57 .
  • Premaratne , G. and Bala , L. Stock market volatility: examining North America, Europe and Asia Econometric Society Far Eastern Meetings . Working Paper . 2004 .
  • Theodossiou , P. , Kahya , E. , Koutmos , G. and Christofi , A. 1997 . Volatility reversion and correlation structure of returns in major international stock markets . The Financial Review , 32 : 205 – 24 .

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