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Keywords: Conditional variance
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Journal Articles
International Journal of Law and Management (2017) 59 (4): 547–570.
Published: 10 July 2017
... to 31 December 2014. Findings The ACGARCH-M (1,1) model reports a positive and significant risk-return relationship in the Russian and Chinese equity markets only. There is leverage and volatility feedback effect in the Russian market because falling returns further increase conditional variance...
