McAleer, Michael; Allen, David E.; Amram, Ron - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices … conditional correlations and volatility spillover effects across these markets. Each model is used to calculate the conditional …