Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25289 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorWeber, Enzoen
dc.date.accessioned2008-07-14-
dc.date.accessioned2009-07-23T15:04:00Z-
dc.date.available2009-07-23T15:04:00Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/25289-
dc.description.abstractInformation 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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,049en
dc.subject.jelC32en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordStochastic volatilityen
dc.subject.keywordidentificationen
dc.subject.keywordvariance transmissionen
dc.subject.stwBörsenkursen
dc.subject.stwVolatilitäten
dc.subject.stwAmerikanischen
dc.subject.stwSpillover-Effekten
dc.subject.stwAktienmarkten
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.subject.stwKanadaen
dc.subject.stwMexikoen
dc.subject.stwBrasilienen
dc.titleSimultaneous stochastic volatility transmission across american equity markets-
dc.type|aWorking Paperen
dc.identifier.ppn57176262Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size
550.75 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.