Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo - In: Journal of Econometrics 170 (2012) 1, pp. 117-141
This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we further condition on the volatility of another market. We employ nonparametric...