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- W2100090916 abstract "This study analyses the stock return characteristics for Japan and Asian emerging markets using monthly return to capture the changes in mean-variance in a two state framework. An unobserved Markov process drives the evolution of the states. The approach allows both the mean and the variance to depend on the unobserved states and the model is estimated in one step. The propensity of any market to stay in a particular state is inferred from the estimated model parameters. The study then extends the analysis by examining two statistical techniques i.e. the causality in variance by Cheung and Ng (1996) and the concordance measure developed by Harding and Pagan (1999)." @default.
- W2100090916 created "2016-06-24" @default.
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- W2100090916 date "2006-03-01" @default.
- W2100090916 modified "2023-10-16" @default.
- W2100090916 title "Empirical investigation on the relationship between Japanese and Asian emerging equity markets" @default.
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- W2100090916 doi "https://doi.org/10.1080/17446540500438826" @default.
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