Simultaneous stochastic volatility transmission across American equity markets

Enzo Weber

The Quarterly Review of Economics and Finance, 2013, vol. 53, issue 1, 53-60

Abstract: Information flows across international financial markets typically occur within hours, making volatility spillovers appear contemporaneously in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually employed multivariate ARCH processes. The arising identification problem is solved by considering heteroscedasticity of the structural volatility innovations. Estimation takes place in an appropriately specified state space setup. In the empirical application, unidirectional volatility spillovers from the US stock market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are subject to idiosyncratic crisis effects.

Keywords: Stochastic volatility; Identification; Variance transmission (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Working Paper: Simultaneous stochastic volatility transmission across American equity markets (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:53:y:2013:i:1:p:53-60

DOI: 10.1016/j.qref.2012.11.001

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