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Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
International Asset Pricing Financial Integration Emerging Markets Multivariate GARCH
2010/11/1
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Ge...