Volatility transmission between Japan, UK and USA in daily stock returns

Hisashi Tanizaki () and Shigeyuki Hamori ()

Empirical Economics, 2009, vol. 36, issue 1, pages 27-54

Keywords: Daily stock returns; Holiday effect; Asymmetry effect; Day-of-the-week effect; Asymmetric volatility transmission (search for similar items in EconPapers)
Date: 2009
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Empirical Economics is edited by Badi H. Baltagi, Heather M. Anderson and Bernd Fitzenberger

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