Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82778
Authors: 
Ågren, Martin
Year of Publication: 
2006
Series/Report no.: 
Working Paper, Department of Economics, Uppsala University 2006:23
Abstract: 
The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U.S., strong evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock market’s own shocks, which are related to other factors of uncertainty than the oil price, are more prominent than oil shocks.
Subjects: 
Volatility spillover
multivariate GARCH
BEKK
oil shocks
stock market
JEL: 
C32
G10
Document Type: 
Working Paper

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