.png){kind=icon}
返回
Volatility contagion: A range-based volatility approach
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jeconom.2011.07.004.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This article proposes a new approach to evaluate volatility contagion in financial markets. A time-varying logarithmic conditional autoregressive range model with the lognormal distribution (TVLCARR) is proposed to capture the possible smooth transition in the range process. Additionally, a smooth transition copula function is employed to detect the volatility contagion between financial markets. The approach proposed is applied to the stock markets of the G7 countries to investigate the volatility contagion due to the subprime mortgage crisis. Empirical evidence shows that volatility is contagious from the US market to several markets examined. (C) 2011 Elsevier B.V. All rights reserved.
Keyword:
LCARR
Price range
Smooth transition copula
Subprime mortgage crisis
TVLCARR
Volatility contagion
期刊
IF:
4
论文数:
5.3K
被引数:
3.0W
机构
引用论文
Epitope Mapping of a Monoclonal Antibody Directed against Neisserial Heparin Binding Antigen Using Next Generation Sequencing of Antigen-Specific Libraries.png)
PLOS ONE
OAAI
PLOS ONEIF0
OAAI分享收藏No contagion, only interdependence: Measuring stock market comovements没有传染，只有相互依存: 衡量股市波动JOURNAL OF FINANCEOAAI
JOURNAL OF FINANCEIF9.5
OAAI分享收藏
OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER THE ALTERNATIVE当滋扰参数仅在备选方案下存在时的最佳测试ECONOMETRICA
ECONOMETRICAIF7.1
PREAI
分享收藏
查看更多内容