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Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.

  • Published:1994-12 Issue:4 Volume:2 Page:405-438
  • ISSN:0927-538X
  • Container-title:Pacific-Basin Finance Journal
  • language:en
  • Short-container-title:Pacific-Basin Finance Journal

Author:

Bae Kee-Hong,Andrew Karolyi G

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. The intraday interdependence structure between U.S. and Japanese equity markets;Becker;Journal of Financial Research,1992

2. Estimation and inference in nonlinear structural models;Berndt;Annals of Economic and Social Measurement,1974

3. Studies in stock price volatility changes;Black,1976

4. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances;Bollerslev;Econometric Reviews,1992

5. Good news, bad news, volatility and betas, working paper;Braun,1992

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