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Linear and non-linear transmission of equity return volatility : evidence from the US, Japan and Australia

Brooks, Chris; Henry, Ólan T. - 1999

Persistent link: https://www.econbiz.de/10001364282

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

Persistent link: https://www.econbiz.de/10001736255

Asymmetric effects, conditional volatility, inter-influences, and predictability in Asian stock markets

Abid, Fathi; Mikhail, Azmi D. - In: Global economy quarterly 1 (2000) 3, pp. 245-266

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Financial market spillovers around the globe

Dimpfl, Thomas; Jung, Robert - 2011

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …

Persistent link: https://www.econbiz.de/10009161582

Linear and non-linear transmission of equity ruturn volatility : evidence from the US, Japan and Australia

Brooks, Chris; Henry, Ólan Thomas John - In: Economic modelling 17 (2000) 4, pp. 497-513

Persistent link: https://www.econbiz.de/10001533881

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10009725481