The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997
From MaRDI portal
Publication:867692
DOI10.1007/s10690-006-9024-7zbMath1161.91396MaRDI QIDQ867692
A. Kartsaklas, Menelaos Karanasos, Jinki Kim
Publication date: 16 February 2007
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-006-9024-7
Uses Software
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Generalized impulse response analysis in linear multivariate models
- Identification of long memory in GARCH models
- Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
- Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
- The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
- Lag length and mean break in stationary VAR models
- Causality tests and conditional heteroskedasticity: Monte Carlo evidence