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|Title:||A test for volatility spillovers|
|Keywords:||Markov switching, GARCH, Volatility, Financial crises.|
|Citation:||Economics and Finance Working papers, Brunel University, 02-04|
|Abstract:||This paper proposes a new procedure for analyzing volatility links between di®erent markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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