Regime-Switching Behaviour in the Conditional Volatility of MENA Stock Market Returns
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DOI: 10.1177/0972652714552042
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References listed on IDEAS
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Cited by:
- Jyothi Chittineni, 2018. "Indian Implied Volatility Index: A Macroeconomic Study," Applied Economics and Finance, Redfame publishing, vol. 5(5), pages 75-82, September.
- Jyothi Chittineni,, 2017. "Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(5), pages 666-675, December.
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More about this item
Keywords
Time-varying volatility; MENA countries’ stock market; three-state Markov regime switching model; Granger causality test;All these keywords.
JEL classification:
- F30 - International Economics - - International Finance - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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