Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia
Chris Brooks and
Ólan Henry ()
No 676, Department of Economics - Working Papers Series from The University of Melbourne
This paper examines the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques.
Keywords: FINANCIAL MARKET; ECONOMETRIC MODELS; FINANCIAL PLANNING (search for similar items in EconPapers)
JEL-codes: G12 G15 C14 (search for similar items in EconPapers)
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Journal Article: Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:676
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