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- W2060624821 abstract "This paper studies the transmission of volatility and financial contagion among 15 countries from two regions. The extensiveness and the scope of the current paper outlines the shifting of market attributes globally, in the pre and post financial crisis period. The most significant markets in the two regions (Asia/Pacific and Europe) are studied for own-volatility spillover up to five lags and cross volatility spillover in a multivariate GARCH diagonal VECH model framework. The switch of the regional market structure is captured with “structural break” phenomenon applying partial asymmetric EGARCH that overcomes non-negativity constraints of volatility clustering. The methods combined, compare and contrast the short term variability and long term regime shifts in the two most dynamic regions of the financial world in the post global financial crisis period." @default.
- W2060624821 created "2016-06-24" @default.
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- W2060624821 date "2013-04-19" @default.
- W2060624821 modified "2023-10-18" @default.
- W2060624821 title "Testing for Global Volatility Spillover, Financial Contagion and Structural Break in Fifteen Economies from Two Regions: A Diagonal VECH Matrix and EGARCH (1,1) Approach" @default.
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- W2060624821 doi "https://doi.org/10.5539/ijef.v5n5p159" @default.
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