Modelling return and conditional volatility exposures in global stock markets

Charlie X Cai, Robert W Faff, David J Hillier, Michael D McKenzie

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

Original language	English
Pages (from-to)	125 - 142
Number of pages	18
Journal	Review of Quantitative Finance and Accounting
Volume	27
Issue number	2
DOIs	https://doi.org/10.1007/s11156-006-8793-4
Publication status	Published - 2006

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title = "Modelling return and conditional volatility exposures in global stock markets",

author = "Cai, {Charlie X} and Faff, {Robert W} and Hillier, {David J} and McKenzie, {Michael D}",

year = "2006",

doi = "10.1007/s11156-006-8793-4",

language = "English",

volume = "27",

pages = "125 -- 142",

journal = "Review of Quantitative Finance and Accounting",

issn = "0924-865X",

publisher = "Springer",

number = "2",

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TY - JOUR

T1 - Modelling return and conditional volatility exposures in global stock markets

AU - Cai, Charlie X

AU - Faff, Robert W

AU - Hillier, David J

AU - McKenzie, Michael D

PY - 2006

Y1 - 2006

U2 - 10.1007/s11156-006-8793-4

DO - 10.1007/s11156-006-8793-4

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VL - 27

SP - 125

EP - 142

JO - Review of Quantitative Finance and Accounting

JF - Review of Quantitative Finance and Accounting

SN - 0924-865X

IS - 2

ER -