Volatility contagion: a range-based volatility approach

DOI10.1016/J.JECONOM.2011.07.004MaRDI QIDQ738077zbMATHOpenAlexFDO

Authors Min-Hsien Chiang, Limin Wang

Publication date 15 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.07.004

zbMATH Keywords

LCARRprice rangesmooth transition copulasubprime mortgage crisisTVLCARRvolatility contagion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A causality-in-variance test and its application to financial market prices
• A test for volatility spillover with application to exchange rates
• Measuring volatility with the realized range
• Model selection tests for nonlinear dynamic models
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Realized range-based estimation of integrated variance
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(12)

• Multivariate Wishart stochastic volatility and changes in regime
• Improving forecasts with the co-range dynamic conditional correlation model
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
• Measuring contagion of subprime crisis based on MVMQ-CAViaR method
• Volatility forecasting using stochastic conditional range model with leverage effect
• Stock market contagion: a new approach
• Robust minimum distance estimators for the CARR(1,1) model
• Statistical inference of locally stationary functional coefficient models
• Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
• A multivariate GARCH model incorporating the direct and indirect transmission of shocks
• Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach

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