Volatility and error transmission spillover effects: Evidence from three European financial regions
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Giampiero M. Gallo & Edoardo Otranto, 2007.
"Volatility transmission across markets: a Multichain Markov Switching model,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 17(8), pages 659-670.
- Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- G. Andrew Karolyi, 2006.
"The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom,"
Review of Finance,
European Finance Association, vol. 10(1), pages 99-152.
- Karolyi, G. Andrew, 2004. "The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom," Working Paper Series 2004-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, vol. 15(2), pages 125-137, August.
- Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
- Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
- T. Ane & C. Labidi, 2006. "Spillover effects and conditional dependence," Post-Print hal-00170818, HAL.
- Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
- Panayiotis Theodossiou & Unro Lee, 1993.
"Mean And Volatility Spillovers Across Major National Stock Markets: Further Empirical Evidence,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 337-350, December.
- Theodossiou, Panayiotis & Lee, Unro, 1993. "Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 337-350, Winter.
- Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
- Angelos Kanas, 2002. "Mean and variance spillovers among size-sorted UK equity portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 9(5), pages 319-323.
- Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- George M. von Furstenberg & Bang Nam Jeon, 1989. "International Stock Price Movements: Links and Messages," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 125-180.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"Volatility and Links between National Stock Markets,"
Econometric Society, vol. 62(4), pages 901-933, July.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
- Cheol S. Eun & Hoyoon Jang, 1997. "Price Interactions in a Sequential Global Market: Evidence from the Cross-listed Stocks," European Financial Management, European Financial Management Association, vol. 3(2), pages 209-235.
- Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
- Theodossiou, Panayiotis, et al, 1997. "Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets," The Financial Review, Eastern Finance Association, vol. 32(2), pages 205-224, May.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
- Richard D. F. Harris & Anirut Pisedtasalasai, 2006. "Return and Volatility Spillovers Between Large and Small Stocks in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9-10), pages 1556-1571.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eme:ajempp:ajems-03-2017-0047 is not listed on IDEAS
- Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014.
"The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options,"
International Journal of Forecasting,
Elsevier, vol. 30(1), pages 78-98.
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," CORE Discussion Papers 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Peter Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- Weber, Enzo, 2013.
"Simultaneous stochastic volatility transmission across American equity markets,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 53(1), pages 53-60.
- Enzo Weber, 2008. "Simultaneous Stochastic Volatility Transmission Across American Equity Markets," SFB 649 Discussion Papers SFB649DP2008-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
- Naseri, Marjan & Masih, Mansur, 2014. "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper 58799, University Library of Munich, Germany.
- Babajide Fowowe & Mohammed Shuaibu, 2016.
"Dynamic spillovers between Nigerian, South African and international equity markets,"
CEPII research center, issue 148, pages 59-80.
- Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
- Cardona, Laura & Gutiérrez, Marcela & Agudelo, Diego A., 2017.
"Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis,"
Research in International Business and Finance,
Elsevier, vol. 39(PA), pages 115-127.
- Diego A. Agudelo & Marcela Gutiérrez & Laura Cardona, 2015. "Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis," DOCUMENTOS DE TRABAJO CIEF 014252, UNIVERSIDAD EAFIT.
More about this item
KeywordsVolatility transmission GARCH models Spillover effects Cross-listings;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:quaeco:v:49:y:2009:i:3:p:858-869. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620167 .