Asset prices and economic fluctuations: The implications of stochastic volatility
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DOI: 10.1016/j.econmod.2017.03.017
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- Liow, Kim Hiang & Liao, Wen-Chi & Huang, Yuting, 2018. "Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty," Economic Modelling, Elsevier, vol. 68(C), pages 96-116.
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More about this item
Keywords
Economic fluctuations; Dynamic Fama-French factors; Stochastic volatility; International stock markets; Predictability;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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