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Showing 1 to 1 of 1 for “"Stocks - Prices - Econometric models"”.
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Modelling and valuing multivariate interdependencies in financial time series
… of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions …