Volatility transmission across markets: a Multichain Markov Switching model-Reference-Cited by-同舟云学术

Volatility transmission across markets: a Multichain Markov Switching model

Published:2007-05 Issue:8 Volume:17 Page:659-670
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Gallo Giampiero M.,Otranto Edoardo

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/09603100600722151

Reference21 articles.

1. Exchange rate risk and Philippine stock returns: before and after the Asian financial crisis

2. Brunetti, C, Mariano, RS, Scotti, C and Tan, AHH. 2003. Markov switching GARCH models of currency crises in Southeast Asia. PIER Working Papers, 03-008. 2003.

3. Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility

4. Volatility dependence and contagion in emerging equity markets

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