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Keywords: GARCH and MARMA
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Journal Articles
Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA
Available to Purchase
International Journal of Emerging Markets (2016) 11 (3): 419–437.
Published: 18 July 2016
.... Burhan F. Yavas can be contacted at: byavas@csudh.edu Emerging markets Portfolio diversification GARCH and MARMA Return and volatility spillovers where ϕ(L), ω(L), (L) are polynomials of different orders in L. Polynomial ϕ(L)=(1−ϕ1...
