Volatility spillovers among global stock markets: measuring total and directional effects-Reference-Cited by-同舟云学术

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Volatility spillovers among global stock markets: measuring total and directional effects

Published:2017-12-22 Issue:5 Volume:56 Page:1581-1599
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Gamba-Santamaria Santiago,Gomez-Gonzalez Jose Eduardo,Hurtado-Guarin Jorge Luis,Melo-Velandia Luis Fernando

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00181-017-1406-3.pdf

Reference19 articles.

1. Aït-Sahalia Y, Cacho-Diaz J, Laeven RJ (2015) Modeling financial contagion using mutually exciting jump processes. J Financ Econ 117(3):585–606

2. Bekaert G, Harvey CR, Lundblad C (2006) Growth volatility and financial liberalization. J Int Money Finance 25(3):370–403

3. Bollerslev T (1990) Modelling the coherence in short-run nominal exchange rates: a multivariate generalized arch model. Review Econ Stat 72:498–505

4. Bradley B, Taqqu MS (2004) Framework for analyzing spatial contagion between financial markets. Finance Lett 2(6):8–15

5. Caccioli F, Shrestha M, Moore C, Farmer JD (2014) Stability analysis of financial contagion due to overlapping portfolios. J Bank Finance 46:233–245

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