Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084279 | International Review of Economics & Finance | 2006 | 26 Pages |
Abstract
A better understanding of cross-market linkages and interactions would help to better manage international financial exposure. So far, no attempt has been made to investigate the degree of price and volatility spillovers in a non-Gaussian conditional framework. We present a new model for these transmission mechanisms that relies on asymmetric-t marginal distributions and a copula function to characterize the conditional dependence. Rendering the dependence parameter time varying, we investigate how the dependence structure is affected by stock return innovations.
Related Topics
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Economics and Econometrics
Authors
Thierry Ané, Chiraz Labidi,