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Autoregressive conditional heteroskedasticity and changes in regime

, and . Journal of Econometrics, 64 (1-2): 307--333 (00 1994)

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Hourly volatility spillovers between international equity markets, and . Journal of International Money and Finance, 13 (1): 3--25 (February 1994)Volatility and cross correlation across major stock markets, and . Journal of Empirical Finance, 5 (4): 397--416 (October 1998)Extreme observations and diversification in Latin American emerging equity markets. Journal of International Money and Finance, 20 (7): 971--986 (December 2001)Autoregressive conditional heteroskedasticity and changes in regime, and . Journal of Econometrics, 64 (1-2): 307--333 (00 1994)Regime-switching stochastic volatility and short-term interest rates, and . Journal of Empirical Finance, 11 (3): 309--329 (June 2004)Variances and covariances of international stock returns: the international capital asset pricing model revisited, and . Journal of International Financial Markets, Institutions and Money, 8 (1): 39--57 (January 1998)