Wang, Yu; Liu, Lei - In: China Finance Review International 6 (2016) 2, pp. 150-176
Purpose – The purpose of this paper is to provide a method for computing the spillover index first proposed by Diebold and Yilmaz (2009), with empirical application on Asian stock markets. Design/methodology/approach – It is based on a VAR-structural-GARCH model. Findings – The results...
