Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
AbstractThis paper examines the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 17 (2000)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/inca/30411
Other versions of this item:
- Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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