Article ID Journal Published Year Pages File Type
5062350 Economics Letters 2006 7 Pages PDF
Abstract
The link between capital controls and stock market volatility is examined using frequency domain techniques. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased) while the overall volatility is increased (reduced).
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Capital controls and stock market volatility in frequency domain
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