Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of pos...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2009
|
| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/449/1/CentreForInternationalCapitalMarketsDiscussionPapers_2009-17_p01-15.pdf |