A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is
In this study, the short-term fluctuations in the monthly returns on composite indexes of 17 emerging markets affected by the financial crises in the late 1990s and 2000 are decomposed with vector autoregressive estimates. The results are compared to the behaviour of variation in returns in developed markets. Three different models are estimated for each market. Due to first order autocorrelations, lagged returns contribute significantly to return volatility in emerging markets. Decompositiondoi:10.1080/00036840500061046 fatcat:gyq6p4yxuvctfoncxlalp3s7uu