Azis, Iwan J.; Mitra, Sabyasachi; Baluga, Anthony; … - 2013
This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility … markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities … are more determined by their own respective shocks and volatilities, in some markets the direct shock and volatility …