An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

Robert Faff, David Hillier, Michael D McKenzie

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	467 - 499
Number of pages	33
Journal	Review of Pacific Basin Financial Markets and Policies
Volume	8
Issue number	3
Publication status	Published - 2005

Cite this

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title = "An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets",

author = "Robert Faff and David Hillier and McKenzie, {Michael D}",

year = "2005",

language = "English",

volume = "8",

pages = "467 -- 499",

journal = "Review of Pacific Basin Financial Markets and Policies",

issn = "0219-0915",

publisher = "World Scientific Publishing",

number = "3",

}

TY - JOUR

T1 - An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

AU - Faff, Robert

AU - Hillier, David

AU - McKenzie, Michael D

PY - 2005

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M3 - Article

SN - 0219-0915

VL - 8

SP - 467

EP - 499

JO - Review of Pacific Basin Financial Markets and Policies

JF - Review of Pacific Basin Financial Markets and Policies

IS - 3

ER -