Volatility and Links between National Stock Markets

Authors:
  • MKMervyn King
    Mervyn King
  • ESEnrique Sentana
    Enrique Sentana
  • SWSushil Wadhwani
    Sushil Wadhwani
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Abstract
The empirical objective of this study is to account for the time-variation in the covariances between stock markets, and to assess the extent of capital market ...