Article ID Journal Published Year Pages File Type
983397 The Quarterly Review of Economics and Finance 2013 8 Pages PDF
Abstract
► A stochastic volatility model with simultaneous variance spillovers is constructed. ► Identification is achieved by exploiting heteroscedasticity of the SV innovations. ► Volatility spillovers from the US to three American stock markets are revealed.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Simultaneous stochastic volatility transmission across American equity markets
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