Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25289
Full metadata record
DC FieldValueLanguage
dc.contributor.authorWeber, Enzoen_US
dc.date.accessioned2008-07-14en_US
dc.date.accessioned2009-07-23T15:04:00Z-
dc.date.available2009-07-23T15:04:00Z-
dc.date.issued2008en_US
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_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2008,049en_US
dc.subject.jelC32en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordStochastic volatilityen_US
dc.subject.keywordidentificationen_US
dc.subject.keywordvariance transmissionen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwAmerikanischen_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwAktienmarkten_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.subject.stwKanadaen_US
dc.subject.stwMexikoen_US
dc.subject.stwBrasilienen_US
dc.titleSimultaneous stochastic volatility transmission across american equity marketsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn57176262Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

Files in This Item:
File
Size
550.75 kB





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