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Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10008596577

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10011605159

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging...

Persistent link: https://www.econbiz.de/10010264556

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10010265708

Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

Persistent link: https://www.econbiz.de/10010265964

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

Persistent link: https://www.econbiz.de/10010270472