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A Test for Volatility Spillovers

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  • Martin Sola
  • Fabio Spagnolo

    ()

  • Nicola Spagnolo

Abstract

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.

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File URL: http://www.brunel.ac.uk/329/efwps/02-04.pdf
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Bibliographic Info

Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Public Policy Discussion Papers with number 02-04.

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Length: 8 pages
Date of creation: Jan 2002
Date of revision:
Handle: RePEc:bru:bruppp:02-04

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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  1. Graciela L. Kaminsky & Sergio L. Schmukler, 1999. "What triggers market jitters: a chronicle of the Asian crisis," International Finance Discussion Papers 634, Board of Governors of the Federal Reserve System (U.S.).
  2. Ravn, Morten O. & Sola, Martin, 1995. "Stylized facts and regime changes: Are prices procyclical?," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 497-526, December.
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