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Non-stationary Variance and Volatility Causality

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  • Kamel malik Bensafta

    ()
    (GERCIE, University François Rabelais de Tours, France)

Abstract

This paper aims to describe bias estimates when non-stationary variance is not detected. We first present a theoretical multivariate GARCH model with structural changes in variance. Then we describe the non-stationary variance and Volatility Causality in the case of the US and the three developed Asian stock markets Japan, Hong Kong and Singapore. Daily data are used for the period May 30th 2002 until June 29th 2010.

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File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P268.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 4 ()
Pages: 2920-2935

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Handle: RePEc:ebl:ecbull:eb-10-00676

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Related research

Keywords: Multivariate GARCH; Non linear VAR; Mean spillover; Volatility spillover; Structural break in variance; Market Co-movement.;

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  1. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
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Cited by:
  1. Kamel Malik Bensafta & Gervasio Semedo, 2014. "Transmission de la volatilité et Central-Banking," Working Papers halshs-01012058, HAL.
  2. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
  3. Kamel Malik Bensafta, 2014. "A Regional Analysis of Markets Uncertainty Spillovers," Working Papers halshs-01015435, HAL.

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