کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7346826 1476496 2018 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility spillover shifts in global financial markets
ترجمه فارسی عنوان
نوسانات ناگهانی در بازارهای مالی جهانی تغییر می کند
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper analyzes the volatility spillovers across global financial markets using a generalized variance decomposition, and by incorporating a fast-tractable Markov regime-switching framework into the vector autoregressive (VAR) model. The new approach outperforms the classical single-regime framework, by detecting different dynamics of spillovers during periods of crisis and periods of tranquility. Moreover, the proposed estimation method has the advantage over existing procedures to converge remarkably fast when applied to a large number of variables. Empirical investigation on volatility indices of eight developed financial stock markets shows that the total and directional spillovers are more intense during turbulent periods, with frequent swings between net risk transmission and net risk reception. Conversely, during periods of tranquility, volatility spillovers are relatively moderate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 73, June 2018, Pages 343-353
نویسندگان
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