International market links and volatility transmission
Carregando...
Arquivos
Data
2012-09
Orientador(res)
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we further condition on the volatility of another market. We employ nonparametric methods to estimate the conditional densities and model-free realized measures of volatility, allowing for both microstructure noise and jumps. We establish the asymptotic normality of the test statistic as well as the first-order validity of the bootstrap analog. Finally, we uncover significant volatility spillovers between the stock markets in China, Japan, UK and US. (c) 2012 Elsevier B.V. All rights reserved.
Descrição
Conteúdo online de acesso restrito pelo editor