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A Test for Volatility Spillovers

Author

Listed:
  • Martin Sola
  • Fabio Spagnolo
  • Nicola Spagnolo

Abstract

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

Suggested Citation

  • Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002. "A Test for Volatility Spillovers," Economics and Finance Discussion Papers 02-04, Economics and Finance Section, School of Social Sciences, Brunel University.
    • Handle: RePEc:bru:bruedp:02-04
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    References listed on IDEAS

    as
    1. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
    2. Ravn, Morten O. & Sola, Martin, 1995. "Stylized facts and regime changes: Are prices procyclical?," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 497-526, December.
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