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The role of volatility regimes on volatility transmission patterns

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  • Nikos Nomikos
  • Enrique Salvador

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  • Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    • Handle: RePEc:taf:quantf:v:14:y:2014:i:1:p:1-13
    DOI: 10.1080/14697688.2013.822537
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    3. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).

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