Volatility Spillovers and Contagion from Mature to Emerging Stock Markets /
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging m...
| Príomhchruthaitheoir: | |
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| Rannpháirtithe: | , , |
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2008.
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| Sraith: | IMF Working Papers; Working Paper ;
No. 2008/286 |
| Rochtain ar líne: | Full text available on IMF |