A Test for Volatility Spillovers

Martin Sola, Fabio Spagnolo and Nicola Spagnolo

Economics and Finance Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

Abstract: This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

Pages: 8 pages
Date: 2002-01
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Related works:
Journal Article: A test for volatility spillovers (2002)
Working Paper: A Test for Volatility Spillovers (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:bru:bruedp:02-04

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