Corradi, Valentina, Distaso, Walter and Fernandes, Marcelo (2008) International market links and realized volatility transmission. In: 3rd ESRC Workshop on Nonlinear Economics and Finance, Keele University, 01 Feb 2008 (Unpublished)

Research output not available from this repository.

Request-a-Copy directly from author or use local Library Get it For Me service.

Request Changes to record.

Abstract

The analysis of volatility transmission is not only essential to understand the information flow process, but also helps identifying the appropriate multivariate model for estimating and predicting volatility. In this paper, we develop formal statistical tools for testing conditional independence and noncausality that are suitable for checking for volatility spillovers in asset prices. We take a different route from the previous papers in the literature in that we make no parametric assumption on the stochastic volatility processes and on the form that they interrelate. In particular, our testing procedure is in two steps. In the first stage, we estimate the daily volatilities of the assets under consideration by means of realized measures under the mild assumption that asset prices follow continuous-time jump-diffusion processes with stochastic volatility. In the second step, we then test for conditional independence by checking whether the corresponding density restrictions hold for the nonparametric estimates of the volatility distributions. The asymptotic results that we derive entail some interesting contributions to the nonparametric literature by clarifying the impact of the realized volatility estimation error. We also contribute to the volatility transmission literature by empirically investigating volatility spillovers between the stock markets in China, Japan, and US.

Item Type:	Conference Item (Paper)
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Official Date:	1 February 2008
Dates:	Date Event 1 February 2008 Completion
Status:	Not Peer Reviewed
Publication Status:	Unpublished
Version or Related Resource:	Corradi, Valentina, et al. (2009). International market links and realized volatility transmission. In: International Symposium on Risk Management and Derivatives. Xiamen, China, 4-6 July 2009.
Conference Paper Type:	Paper
Title of Event:	3rd ESRC Workshop on Nonlinear Economics and Finance
Type of Event:	Conference
Location of Event:	Keele University
Date(s) of Event:	01 Feb 2008
Related URLs:	Other

Request changes or add full text files to a record

Repository staff actions (login required)

View Item