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Study on return and volatility spillover effects among stock, CDS, and foreign exchange markets in Korea

I, Taly - In: Journal of East Asian economic integration 19 (2015) 3, pp. 275-322

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there...

Persistent link: https://www.econbiz.de/10011572873