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The kidnapping of Europe: High-order moments' transmission between developed and emerging markets

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  • Del Brio, Esther B.
  • Mora-Valencia, Andrés
  • Perote, Javier

Abstract

The paper proposes a semi-nonparametric methodology consistent with dynamic conditional correlations and high-order moments to jointly estimate transmissions in volatility, skewness and kurtosis in highly volatile scenarios among developed and emerging markets. As a by-product of the SNP-VSK model, we measure co-movements between conditional correlations and high-order moments, and tail dependence. Our results depict European markets as full receivers and North American and Asia-Pacific as transmitters of high-order moments' risk. The analyses also indicate that conditional correlation is positively correlated to volatility and kurtosis and negatively correlated to skewness, and that conditional kurtosis between markets is high and positive.

Suggested Citation

  • Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    • Handle: RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115
    DOI: 10.1016/j.ememar.2017.03.002
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    More about this item

    Keywords

    Global financial crisis; SNP-DCC model; GARCH; High-order moment spillovers; Tail dependence;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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