Do different time-horizons in volatility have any significance for the emerging markets?

N. Alper Gormus

Economics Letters, 2016, vol. 145, issue C, 29-32

Abstract: This paper investigates the influence of U.S. stock market over emerging markets in terms of volatility and volatility of volatility (VOV) at different time horizons. It finds that spillover from the U.S. to emerging markets exists for VOV in a longer term.

Keywords: Emerging markets; Volatility time-horizon; Volatility of volatility (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:29-32

DOI: 10.1016/j.econlet.2016.04.035

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