A test for volatility spillovers

被引：34

作者：

Sola, M

Spagnolo, F

Spagnolo, N

机构：

[1] Univ London Birkbeck Coll, Sch Econ Math & Stat, London W1P 2LL, England

[2] Univ Torcuato Di Tella, Dept Econ, Buenos Aires, DF, Argentina

[3] Brunel Univ, Dept Econ & Finance, London, England

来源：

ECONOMICS LETTERS | 2002年 / 76卷 / 01期

基金：

英国经济与社会研究理事会;

关键词：

Markov switching; GARCH; volatility; financial crises;

D O I：

10.1016/S0165-1765(02)00027-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：77 / 84

页数：8

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