Linear and Non-Linear Financial Econometrics -Theory and Practice 2021
DOI: 10.5772/intechopen.90240
|View full text |Cite
|
Sign up to set email alerts
|

The Independence of Indexed Volatilities

Abstract: Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe. This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real estate indices of emerging markets. The resul… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

0
0
0

Publication Types

Select...

Relationship

0
0

Authors

Journals

citations
Cited by 0 publications
references
References 36 publications
0
0
0
Order By: Relevance

No citations

Set email alert for when this publication receives citations?