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Persistent link: https://www.econbiz.de/10003866823
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In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...
Persistent link: https://www.econbiz.de/10003550582
In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...
Persistent link: https://www.econbiz.de/10003630053
Persistent link: https://www.econbiz.de/10001124517
In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...
Persistent link: https://www.econbiz.de/10013132419
Persistent link: https://www.econbiz.de/10012391014