Cifarelli, Giulio; Paladino, Giovanna - In: Banca Nazionale del Lavoro Quarterly Review 54 (2001) 216, pp. 37-71
This paper investigates volatility spillovers between eleven equity markets located in Europe, Asia, Latin America and the US from July 1992 to July 1999. The absolute value of stock returns is adopted as volatility index. The VAR methodology--duly adjusted in order to account for differences in...
