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Volatility spillovers from the US to Australia and China across the GFC

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Allen, David E., McAleer, Michael, Powell, Robert J., Singh, Abhay KumarInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper838

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Summary, etc.... a tri-variate Cholesky-GARCH model to include potential e ...
Subject HeadingVolatility spillovers Markov-switching GARCH Cholesky-GARCH Time-varying correlations

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