International market links and volatility transmission
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Publication:528027
DOI10.1016/J.JECONOM.2012.03.003zbMATH Open1443.62342MaRDI QIDQ528027FDOQ528027
Authors: Valentina Corradi, Walter Distaso, Marcelo Fernandes 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000759
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Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (22)
- Are volatility indices in international stock markets forward looking?
- Conditional quantile analysis for realized GARCH models
- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Capturing the spillover effect with multiplicative error models
- 24-hour realized volatilities and transatlantic volatility interdependence
- Testing for mutually exciting jumps and financial flights in high frequency data
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
- Testing conditional independence via empirical likelihood
- Internationalization and Stock Market Liquidity*
- Investigating volatility transmission across international equity markets using multivariate fractional models
- A test for volatility spillovers.
- International capital markets and redundant securities
- Dispersion in macroeconomic volatility between the core and periphery of the international trade network
- Volatility transmission patterns and terrorist attacks
- Volatility spillover effect: a semiparametric analysis of non-cointegrated process
- Testing for jump spillovers without testing for jumps
- A practical multivariate approach to testing volatility spillover
- Testing for volatility co-movement in bivariate stochastic volatility models
- A nonparametric test of a strong leverage hypothesis
- Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
- Dynamic linkages and higher moments risk connectedness among international stock markets
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