Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers …