Brunel University Research Archive(BURA) preserves and enables easy and open access to all
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http://bura.brunel.ac.uk/handle/2438/905| Title: | A test for volatility spillovers |
| Authors: | Sola, M Spagnolo, F Spagnolo, N |
| Keywords: | Markov switching, GARCH, Volatility, Financial crises. |
| Issue Date: | 2002 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working papers, Brunel University, 02-04 |
| Abstract: | This paper proposes a new procedure for analyzing volatility links between di®erent markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed. |
| URI: | http://bura.brunel.ac.uk/handle/2438/905 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
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