Show simple item record

2008-07-08Buch DOI: 10.18452/4141
Simultaneous Stochastic Volatility Transmission Across American Equity Markets
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-15T23:45:27Z
dc.date.available2017-06-15T23:45:27Z
dc.date.created2008-10-08
dc.date.issued2008-07-08
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4793
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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectIdentificationeng
dc.subjectStochastic Volatilityeng
dc.subjectVariance Transmissioneng
dc.subject.ddc330 Wirtschaft
dc.titleSimultaneous Stochastic Volatility Transmission Across American Equity Markets
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10092066
dc.identifier.doihttp://dx.doi.org/10.18452/4141
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue49
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

Show simple item record