Volatility spillovers between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis

Daniel FS Choi, Victor Fang, Tian Yong Fu

Abstract


Keywords: New Zealand, EGARCH model, volatility spillover, Asian financial crisis

JEL Classifications: E44, G01

 


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DOI: http://dx.doi.org/10.5296/ajfa.v1i2.140

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