Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/905
Title: A test for volatility spillovers
Authors: Sola, M
Spagnolo, F
Spagnolo, N
Keywords: Markov switching, GARCH, Volatility, Financial crises.
Issue Date: 2002
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 02-04
Abstract: This paper proposes a new procedure for analyzing volatility links between diĀ®erent markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.
URI: http://bura.brunel.ac.uk/handle/2438/905
Appears in Collections:Dept of Economics and Finance Research Papers

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