On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers

On Emerging Asia-Pacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers

This dissertation investigates the dynamics of mean and volatility spillovers from the U.S. and three large (regional) Asia-Pacific stock markets to ten small (local) ones from June 2008 to May 2013. After a brief introduction to the main purposes and contributions of my research in Chapter 1, I exa...

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Bibliographic Details
Main Author: Xu, Li
Format: Others
Published: FIU Digital Commons 2015
Subjects:
Emerging markets
Volatility spillover
Markov switching
GARCH
Econometrics
Finance
International Economics
Online Access:http://digitalcommons.fiu.edu/etd/2320
http://digitalcommons.fiu.edu/cgi/viewcontent.cgi?article=3428&context=etd

Internet

http://digitalcommons.fiu.edu/etd/2320
http://digitalcommons.fiu.edu/cgi/viewcontent.cgi?article=3428&context=etd

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