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An assessment of volatility transmission in the Jamaican financial system

By:

Hurditt, Percival

Material type: Text

TextPublication details: [Caribbean Centre for Money & Finance] [St. Augustine]TT 2004Description: 29 pAction note:

12/5/08 JOYD

Summary: Applies the GARCH-BEKK procedure to the returns from the Jamaican bond, foreign exchange and stock markets in order to estimate the magnitude of the common market and cross-market volatility transmission.

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Holdings
Item type	Current library	Call number	Status	Barcode
Monograph	CARICOM Documentation Centre	11.02.01 M742hu(2004) (Browse shelf(Opens below))	Available	0000000027529

Applies the GARCH-BEKK procedure to the returns from the Jamaican bond, foreign exchange and stock markets in order to estimate the magnitude of the common market and cross-market volatility transmission.

12/5/08 JOYD

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