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• W2023739959 abstract "This paper investigates the degree of volatility persistence and the time-varying behavior of systemic risk (beta) for ten international stock markets. The findings suggest that small capitalization markets exhibit considerably higher volatility persistence than large capitalization markets. Market betas with respect to a value-weighted world index are time-dependent for many of the markets examined. Interestingly, markets with high volatility persistence possess higher systematic risk during periods of high world market volatility." @default.
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• W2023739959 date "1994-05-01" @default.
• W2023739959 modified "2023-10-16" @default.
• W2023739959 title "Time-varying betas and volatility persistence in International Stock markets" @default.
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• W2023739959 doi "https://doi.org/10.1016/0148-6195(94)90004-3" @default.
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