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Dynamic volatility spillovers across the Extended Greater China Region stock markets

Diaz, John Francis - In: Global economy journal : GEJ 21 (2021) 1, pp. 2150003-1-2150003-22

Persistent link: https://www.econbiz.de/10012805962

Volatility integration of global stock markets with the Malaysian stock market : a multivariate GARCH approach

Qian, Peh Ying; Diaz, John Francis - In: Malaysian journal of economic studies 54 (2017) 1, pp. 83-117

Persistent link: https://www.econbiz.de/10011825756

The spillover and leverage effects of equity exchange-traded notes (ETNs)

Chen, Jo-hui; Diaz, John Francis - In: Global economy journal : GEJ 19 (2019) 3, pp. 1950013-1-17

Persistent link: https://www.econbiz.de/10012201280

Variance persistence in the greater China region : a multivariate GARCH approach

Diaz, John Francis; Qian, Peh Ying; Tan, Genevieve Liao - In: The Lahore journal of economics 23 (2018) 2, pp. 49-68

Persistent link: https://www.econbiz.de/10011980529

Return and Volatility Transmissions in Asia's Top Emerging Economies

Diaz, John Francis - 2015

This paper applies the Autoregressive Moving Average-Exponential General Autoregressive Conditional Heteroskedasticity (ARMA-EGARCH) in studying the spillover and leverage effects of returns and volatilities of China's Shanghai Stock Exchange (SSE) index, India's Bombay Stock Exchange index...

Persistent link: https://www.econbiz.de/10013015198