Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets : evidence from the United States
Year of publication: |
November 2016
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Authors: | Tian, Shuairu ; Hamori, Shigeyuki |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 38.2016, p. 163-171
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Subject: | Price shock transmission | Volatility spillovers | Time-varying structural vector autoregression model | Stochastic volatility | Volatilität | Volatility | USA | United States | VAR-Modell | VAR model | Schock | Shock | Spillover-Effekt | Spillover effect | Ölpreis | Oil price | ARCH-Modell | ARCH model | Schätzung | Estimation | Preiskonvergenz | Price convergence | Japan |
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