Reexamining the time-varying volatility spillover effects: A Markov switching causality approach

CORC > 厦门大学 > 王亚南院－已发表论文

	Reexamining the time-varying volatility spillover effects: A Markov switching causality approach
	Zheng, Tingguo ; Zuo, Haomiao ; Zheng TG(郑挺国)
刊名	http://dx.doi.org/10.1016/j.najef.2013.05.001
	2013
关键词	EMERGING EQUITY MARKETS RANGE-BASED ESTIMATION STOCK MARKETS CONTAGION MODELS INTERDEPENDENCE RETURN MONEY TRANSMISSION DEPENDENCE
英文摘要	This paper intends to examine the volatility spillover effect between selective developed markets including U.S., U.K., Germany, Japan and Hong Kong over the sample period from 1996 to 2011. We introduce a Markov switching causality method to model the potential instability of volatility spillover relationships over market tranquil or turmoil periods. This method is more flexible as no prior information on the changing points or size of sample window is needed. From the empirical results, we find the evidence of the existence of spillover effects among most markets, and the bilateral volatility spillover effects are more prominent over turmoil or crisis episodes, especially during Asia crisis and subprime mortgage crisis periods. Moreover, the distinct role of each market is also investigated. (C) 2013 Elsevier Inc. All rights reserved.
语种	英语
出版者	ELSEVIER SCIENCE INC
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91521]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Zheng, Tingguo,Zuo, Haomiao,Zheng TG. Reexamining the time-varying volatility spillover effects: A Markov switching causality approach[J]. http://dx.doi.org/10.1016/j.najef.2013.05.001,2013.
APA	Zheng, Tingguo,Zuo, Haomiao,&郑挺国.(2013).Reexamining the time-varying volatility spillover effects: A Markov switching causality approach.http://dx.doi.org/10.1016/j.najef.2013.05.001.
MLA	Zheng, Tingguo,et al."Reexamining the time-varying volatility spillover effects: A Markov switching causality approach".http://dx.doi.org/10.1016/j.najef.2013.05.001 (2013).