Corradi, Valentina, Distaso, Walter and Fernandes, Marcelo. (2012) International market links and volatility transmission. Journal of Econometrics, 170 (1). pp. 117-141. ISSN 0304-4076

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Abstract

This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we further condition on the volatility of another market. We employ nonparametric methods to estimate the conditional densities and model-free realized measures of volatility, allowing for both microstructure noise and jumps. We establish the asymptotic normality of the test statistic as well as the first-order validity of the bootstrap analog. Finally, we uncover significant volatility spillovers between the stock markets in China, Japan, UK and US.

Item Type:	Journal Article
Subjects:	H Social Sciences > HF Commerce H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics
Journal or Publication Title:	Journal of Econometrics
Publisher:	Elsevier BV * North-Holland
ISSN:	0304-4076
Date:	September 2012
Volume:	170
Number:	1
Page Range:	pp. 117-141
Identification Number:	10.1016/j.jeconom.2012.03.003
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	Economic and Social Research Council (ESRC)
Grant number:	RES-062-23-0311
URI:	http://wrap.warwick.ac.uk/id/eprint/45539

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