RDP 9609: Australian Financial Market Volatility: an Exploration of Cross-Country and Cross-Market Linkages
Equation (4a.1)
x
t
A
U
S
=
α
0
+
β
1
x
t
−
1
A
U
S
+
β
2
z
t
A
U
S
+
γ
1
x
t
−
1
U
S
+
γ
2
z
t
−
1
U
S
+
δ
1
e
x
t
+
ε
t
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