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Simultaneous volatility transmission and spillover effects

Gannon, Gerard 2010, Simultaneous volatility transmission and spillover effects, Review of Pacific Basin financial markets and policies, vol. 13, no. 1, pp. 127-156.

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Title Simultaneous volatility transmission and spillover effects
Author(s) Gannon, Gerard
Journal name Review of Pacific Basin financial markets and policies
Volume number 13
Issue number 1
Start page 127
End page 156
Publisher World Scientific Publishing Co Pty. Ltd.
Place of publication Singapore
Publication date 2010-03
ISSN 0219-0915
Keyword(s) Volatility
simulataneous models
Summary Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.
Language eng
Field of Research 150103 Financial Accounting
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2010
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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Created: Fri, 06 Aug 2010, 14:44:45 EST by Katrina Fleming

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