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Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia

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Author Info
Brooks, C.
Henry, O.T.

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Abstract

This 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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Publisher Info
Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 676.

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Length: 26 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:mlb:wpaper:676

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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
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Web page: http://www.economics.unimelb.edu.au
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Related research
Keywords: FINANCIAL MARKET ; ECONOMETRIC MODELS ; FINANCIAL PLANNING;

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Find related papers by JEL classification:
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: General - - - Semiparametric and Nonparametric Methods

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  4. Diks, C.G.H. & Panchenko, V., 2004. "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers 04-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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  7. Helena Chuliá Soler & Pilar Soriano Felipe & Francisco Climent & Hipòlit Torró, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC 2007-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  9. Henry, O.T. & Summers, P.M., 2000. "Australian Economic Growth: Non-Linearities and Internaitonal Influences," Department of Economics - Working Papers Series 738, The University of Melbourne. [Downloadable!]
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This page was last updated on 2009-11-23.

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