International market links and volatility transmission
Corradi, Valentina, Distaso, Walter and Fernandes, Marcelo. (2012) International market links and volatility transmission. Journal of Econometrics, 170 (1). pp. 117-141. ISSN 0304-4076Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jeconom.2012.03.003
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|
|Official Date:||September 2012|
|Page Range:||pp. 117-141|
|Access rights to Published version:||Restricted or Subscription Access|
|Funder:||Economic and Social Research Council (ESRC)|
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