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Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25289
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Weber, Enzo | | en_US |
| dc.date.accessioned | | 2008-07-14 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:04:00Z | | - |
| dc.date.available | | 2009-07-23T15:04:00Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25289 | | - |
| dc.description.abstract | | Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually employed multivariate ARCH processes.The identification problem is solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup. In the empirical application, unidirectional volatility spillovers from the US stock market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are subject to idiosyncratic crisis effects. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2008,049 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Stochastic volatility | | en_US |
| dc.subject.keyword | | identification | | en_US |
| dc.subject.keyword | | variance transmission | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Amerikanisch | | en_US |
| dc.subject.stw | | Spillover-Effekt | | en_US |
| dc.subject.stw | | Aktienmarkt | | en_US |
| dc.subject.stw | | Internationaler Preiszusammenhang | | en_US |
| dc.subject.stw | | Internationaler Finanzmarkt | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.subject.stw | | Kanada | | en_US |
| dc.subject.stw | | Mexiko | | en_US |
| dc.subject.stw | | Brasilien | | en_US |
| dc.title | | Simultaneous stochastic volatility transmission across american equity markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 57176262X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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