Reexamining the Time-varying Volatility Spillover Effects: A Markov Switching Causality Approach

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	Reexamining the Time-varying Volatility Spillover Effects: A Markov Switching Causality Approach
	Tingguo Zheng ; Haomiao Zuo
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=305
	2013-11-08
关键词	Volatility spillover Markov switching Granger causality Range
英文摘要	This paper intends to examine the volatility spillover effect betweenselective developed markets including U.S., U.K., Germany, Japanand Hong Kong over the sample period from 1996 to 2011. Weintroduce a Markov switching causality method to model thepotential instability of volatility spillover relationships over mar-ket tranquil or turmoil periods. This method is more flexible as noprior information on the changing points or size of sample win-dow is needed. From the empirical results, we find the evidenceof the existence of spillover effects among most markets, and thebilateral volatility spillover effects are more prominent over tur-moil or crisis episodes, especially during Asia crisis and subprimemortgage crisis periods. Moreover, the distinct role of each marketis also investigated.; This paper is forthcoming in North American Journal of Economics and Finance.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56871]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Tingguo Zheng,Haomiao Zuo. Reexamining the Time-varying Volatility Spillover Effects: A Markov Switching Causality Approach[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=305,2013.
APA	Tingguo Zheng,&Haomiao Zuo.(2013).Reexamining the Time-varying Volatility Spillover Effects: A Markov Switching Causality Approach.http://www.wise.xmu.edu.cn/paperInfor.asp?id=305.
MLA	Tingguo Zheng,et al."Reexamining the Time-varying Volatility Spillover Effects: A Markov Switching Causality Approach".http://www.wise.xmu.edu.cn/paperInfor.asp?id=305 (2013).