Return and Volatility Linkages among G-7 and Selected Emerging Markets
In this research, using twelve year daily data on sixteen market indicies, we examine the return and volatility linkages among developed and selected emerging stock markets. All markets exhibit excess kurtosis and ARCH effect in addition to non-normality. Our results show the existence of non-normal...
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2015
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| Online Access: | https://dspace.auk.edu.kw/handle/11675/7674 |
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