Zheng, Tingguo; Zuo, Haomiao - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 643-662
This paper intends to examine the volatility spillover effect between selective developed markets including U.S., U.K., Germany, Japan and Hong Kong over the sample period from 1996 to 2011. We introduce a Markov switching causality method to model the potential instability of volatility...