Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

DOI10.1002/for.2509zbMath1400.62241MaRDI QIDQ4961416

Zhiyuan Pan, Yudong Wang, Chongfeng Wu

Publication date: 29 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2509

zbMATH Keywords

forecasting; business cycle; volatility spillover; BEKK-GARCH; HVS-GARCH

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62J10: Analysis of variance and covariance (ANOVA)

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