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A test for volatility spillovers

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  • Sola, Martin
  • Spagnolo, Fabio
  • Spagnolo, Nicola

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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Suggested Citation

  • Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2002. "A test for volatility spillovers," Economics Letters, Elsevier, vol. 76(1), pages 77-84, June.
    • Handle: RePEc:eee:ecolet:v:76:y:2002:i:1:p:77-84
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    References listed on IDEAS

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    1. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
    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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