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International market links and volatility transmission

Corradi, V, Distaso, W and Fernandes, M (2012) International market links and volatility transmission Journal of Econometrics, 170 (1). pp. 117-141.

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Abstract

This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we further condition on the volatility of another market. We employ nonparametric methods to estimate the conditional densities and model-free realized measures of volatility, allowing for both microstructure noise and jumps. We establish the asymptotic normality of the test statistic as well as the first-order validity of the bootstrap analog. Finally, we uncover significant volatility spillovers between the stock markets in China, Japan, UK and US. © 2012 Elsevier B.V. All rights reserved.

Item Type: Article
Authors :
NameEmailORCID
Corradi, Vv.corradi@surrey.ac.ukUNSPECIFIED
Distaso, WUNSPECIFIEDUNSPECIFIED
Fernandes, MUNSPECIFIEDUNSPECIFIED
Date : 1 September 2012
Identification Number : 10.1016/j.jeconom.2012.03.003
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:27
Last Modified : 17 May 2017 14:35
URI: http://epubs.surrey.ac.uk/id/eprint/819740

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