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- W1878258243 abstract "The present study attempts to track the transmission of volatility across major international stock markets over a span of 20 years, which includes both crisis (contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follows a pattern. The study uses bi-variate EGARCH model in order to capture spillover between a pair of stock markets and the estimation window is one year with a sliding frequency of one quarter. The results show that, there is a spillover of volatility between international stock markets at all times. Results also indicate that in almost all cases, the pattern of spillover is non-random. Finally, the study characterizes the spillover pattern between international stock markets using suitable theoretical distributions." @default.
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- W1878258243 date "2015-01-01" @default.
- W1878258243 modified "2023-09-28" @default.
- W1878258243 title "Characterizing the Volatility Transmission across International Stock Markets" @default.
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- W1878258243 doi "https://doi.org/10.4236/tel.2015.54067" @default.
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