Brunel University Research Archive(BURA) preserves and enables easy and open access to all
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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/905Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Sola, M | - |
| dc.contributor.author | Spagnolo, F | - |
| dc.contributor.author | Spagnolo, N | - |
| dc.coverage.spatial | 8 | en |
| dc.date.accessioned | 2007-06-26T20:47:17Z | - |
| dc.date.available | 2007-06-26T20:47:17Z | - |
| dc.date.issued | 2002 | - |
| dc.identifier.citation | Economics and Finance Working papers, Brunel University, 02-04 | en |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/905 | - |
| dc.description.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. | en |
| dc.format.extent | 125696 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | Brunel University | en |
| dc.subject | Markov switching, GARCH, Volatility, Financial crises. | en |
| dc.title | A test for volatility spillovers | en |
| dc.type | Research Paper | en |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
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