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Simultaneous Volatility Transmissions and Spillover Effects

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    Abstract

    Simultaneous Volatility models are developed and shown to be separate from Multivariate GARCH estimators. An example is provided that allows for simultaneous and uni-directional volatility and volume of trade effects. These effects are tested using intra-day data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the S&P500 index futures markets are tested using alternative estimates of this U.S. market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to mis-specification of the direction of volatility causality.

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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/swp2004_10.pdf
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    Bibliographic Info

    Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2004_10.

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    Length: 40 pages
    Date of creation: 21 Jul 2004
    Date of revision:
    Handle: RePEc:dkn:acctwp:aef_2004_10

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    Related research

    Keywords: Volatility; Simultaneous Models; Transmissions; Spillovers;

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    Cited by:
    1. Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.

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