Asgharian, Hossein; Nossman, Marcus - In: Journal of International Money and Finance 30 (2011) 1, pp. 22-38
We develop a stochastic volatility model with jumps in returns and volatility to analyze the risk spillover from the U.S. market and the regional market to a number of European countries' equity markets. The key advantage of this approach compared to the earlier approaches is that it enables us...