Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework /
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of ano...
| Hoofdauteur: | |
|---|---|
| Andere auteurs: | |
| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
1999.
|
| Reeks: | IMF Working Papers; Working Paper ;
No. 1999/158 |
| Online toegang: | Full text available on IMF |