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Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets

Elton Daal, Atsuyuki Naka and Jung-Suk Yu ()

Journal of Banking & Finance, 2007, vol. 31, issue 9, 2751-2769

Date: 2007
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Working Paper: Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets (2006) Downloads
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Handle: RePEc:eee:jbfina:v:31:y:2007:i:9:p:2751-2769