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Volatility linkages across three major equity markets: A financial arbitrage approach

Journal of International Money and Finance, 24(3): 413--439, 2005.
Authors: Giulio Cifarelli and Giovanna Paladino
URL: http://www.sciencedirect.com/science/article/B6V9S-4FN2N5X-2/1/3e40c060cfc676720839791e7d233281
Tags: GARCH Multivariate
| URL | BibTeX  
@article{Cifarelli2005,
title = {Volatility linkages across three major equity markets: A financial arbitrage approach},
author = {Giulio Cifarelli and Giovanna Paladino},
journal = {Journal of International Money and Finance},
month = {Apr},
number = {3},
pages = {413--439},
url = {http://www.sciencedirect.com/science/article/B6V9S-4FN2N5X-2/1/3e40c060cfc676720839791e7d233281},
volume = {24},
year = {2005},
keywords = {GARCH Multivariate }
}