Volatility contagion: A range-based volatility approach

Min Hsien Chiang, Li Min Wang

Research output: Contribution to journalArticle

32 Citations (Scopus)

Abstract

This article proposes a new approach to evaluate volatility contagion in financial markets. A time-varying logarithmic conditional autoregressive range model with the lognormal distribution (TVLCARR) is proposed to capture the possible smooth transition in the range process. Additionally, a smooth transition copula function is employed to detect the volatility contagion between financial markets. The approach proposed is applied to the stock markets of the G7 countries to investigate the volatility contagion due to the subprime mortgage crisis. Empirical evidence shows that volatility is contagious from the US market to several markets examined.

Original languageEnglish
Pages (from-to)175-189
Number of pages15
JournalJournal of Econometrics
Volume165
Issue number2
DOIs
Publication statusPublished - 2011 Dec 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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