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Volatility spillovers from international commodity markets to the Australian equity market

Author

Listed:
  • Neda Todorova
  • Michael Soucek
  • Eduardo Roca

Abstract

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Suggested Citation

  • Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201505
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390384/2015-05-volatility-spillovers-from-international-commodity-markets-to-australian-equity-market%20.pdf
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    References listed on IDEAS

    as
    1. Gerard L. Gannon, 2010. "Simultaneous Volatility Transmission and Spillover Effects," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 127-156.
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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