Nishimura, Yusaku; Men, Ming - In: Journal of Chinese Economic and Foreign Trade Studies 3 (2010) 3, pp. 235-253
Purpose – The purpose of this paper is to examine the daily and overnight volatility spillover effects in common stock …‐correlation function approach, and realized volatility for daily and intraday stock price data that cover the period from January 5, 2004 …‐way volatility spillover effects from China to the US, UK, German and French stock markets is observed and the test results indicate …