Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia
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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia|
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Web page: http://fbe.unimelb.edu.au/economics
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