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Asymmetric international transmission in the conditional mean and volatility to the Japanese market from the US : EGARCH versus SV models

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Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the US : Egarch Versus SV Models

Miyakoshi, Tatsuyoshi - 2010

This paper investigates whether the upturns and downturns of the US market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and SV models, which simultaneously allow two kinds of...

Persistent link: https://www.econbiz.de/10013150379