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Volatility spillovers from international commodity markets to the Australian equity market

Author

Listed:
  • Neda Todorova
  • Michael Soucek
  • Eduardo Roca

Abstract

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Suggested Citation

  • Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201505
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390384/2015-05-volatility-spillovers-from-international-commodity-markets-to-australian-equity-market%20.pdf
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    References listed on IDEAS

    as
    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    2. Gerard L. Gannon, 2010. "Simultaneous Volatility Transmission and Spillover Effects," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 127-156.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Volatility transmission; HAR model; Intraday data; Realized volatility; Jumps; Commodity markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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