Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis a ected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using basic...
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| Formato: | article |
| Idioma: | eng |
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2016
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| Texto completo: | http://hdl.handle.net/10314/2355 |
| País: | Portugal |
| Oai: | oai:bdigital.ipg.pt:10314/2355 |