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Estimating and predicting multivariate volatility thresholds in global stock ...
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several... -
Stocks, bonds, money markets and exchange rates: measuring international fina...
Understanding the complexity of the financial transmission process across various assets-domestically as well as within and across asset classes-requires the simultaneous...
