Gallo, Giampiero M.; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2005
In this paper we suggest ways to characterize the transmission mechanisms of volatility between markets by making use of a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. The comparison between this model and...