Volatility contagion: A range-based volatility approach

Min Hsien Chiang, Li Min Wang

研究成果: Article

32 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)175-189
頁數15
期刊Journal of Econometrics
165
發行號2
DOIs
出版狀態Published - 2011 十二月 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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