Financial integration in emerging market economies: Effects on volatility transmission and contagion
The purpose of this paper is to examine the volatility relationship that exists between emerging and developed markets in normal times and in times of financial crises. The Vector Autoregressive methodology and the Bai and Perron (2003a, 2003b)'s technique are used. The paper results lead to ve...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2015-09-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845015000174 |