Volatility spillover shifts in global financial markets

Ahmed BenSaïda, Houda Litimi and Oussama Abdallah
Additional contact information
Oussama Abdallah: LIRIS - Laboratoire interdisciplinaire de recherche en innovations sociétales - UR2 - Université de Rennes 2

Post-Print from HAL

Abstract: This paper analyzes the volatility spillovers across global financial markets using a generalized variance decomposition, and by incorporating a fast-tractable Markov regime-switching framework into the vector autoregressive (VAR) model. The new approach outperforms the classical single-regime framework, by detecting different dynamics of spillovers during periods of crisis and periods of tranquility. Moreover, the proposed estimation method has the advantage over existing procedures to converge remarkably fast when applied to a large number of variables. Empirical investigation on volatility indices of eight developed financial stock markets shows that the total and directional spillovers are more intense during turbulent periods, with frequent swings between net risk transmission and net risk reception. Conversely, during periods of tranquility, volatility spillovers are relatively moderate.

Keywords: Financial contagion; Markov switching; Risk transmission; Volatility spillovers (search for similar items in EconPapers)
Date: 2018-06
References: Add references at CitEc
Citations: View citations in EconPapers (34)

Published in Economic Modelling, 2018, 73, pp.343-353. ⟨10.1016/j.econmod.2018.04.011⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Volatility spillover shifts in global financial markets (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02869496

DOI: 10.1016/j.econmod.2018.04.011

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().