Volatility Spillovers from the US to Australia and China across the GFC
Year of publication: |
2012-12
|
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Authors: | Allen, David Edmund ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. |
Institutions: | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid |
Subject: | Volatility spillovers | Markov-switching GARCH | Cholesky-GARCH | Time-varying correlations |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Acknowledgements: For financial support, the first author acknowledges the Australian Research Council, and the third author is most grateful to the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science. Number 2012-30 16 pages |
Source: |
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