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

Hisashi Tanizaki and Shigeyuki Hamori

Empirical Economics, 2009, vol. 36, issue 1, 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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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s00181-007-0182-x

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