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https://hdl.handle.net/10419/26590
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Beirne, John | en |
dc.contributor.author | Caporale, Guglielmo Maria | en |
dc.contributor.author | Schulze-Ghattas, Marianne | en |
dc.contributor.author | Spagnolo, Nicola | en |
dc.date.accessioned | 2009-03-03 | - |
dc.date.accessioned | 2009-07-28T08:48:40Z | - |
dc.date.available | 2009-07-28T08:48:40Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://hdl.handle.net/10419/26590 | - |
dc.description.abstract | This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x2545 | en |
dc.subject.jel | F30 | en |
dc.subject.jel | G15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Volatility spillovers | en |
dc.subject.keyword | contagion | en |
dc.subject.keyword | stock markets | en |
dc.subject.keyword | emerging markets | en |
dc.subject.stw | Finanzmarkt | en |
dc.subject.stw | Aktienmarkt | en |
dc.subject.stw | Institutioneller Wandel | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Spillover-Effekt | en |
dc.subject.stw | Aufstrebende Märkte | en |
dc.title | Volatility spillovers and contagion from mature to emerging stock markets | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 592855740 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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