Volatility spillover dynamics and relationship across G7 financial markets
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- 作者：Kim Hiang Liow ; rstlkh@nus.edu.sg" class="auth_mail" title="E-mail the corresponding author
- 关键词：Conditional volatility spillover effects ; Directional and net volatility spillovers ; Long-run equilibrium ; Error-correction model ; Cyclical dependencies
- 刊名：The North American Journal of Economics and Finance
- 出版年：2015
- 出版时间：July 2015
- 年：2015
- 卷：33
- 期：Complete
- 页码：328-365
- 全文大小：3573 K
文摘
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Cross-asset conditional volatility spillovers within each G7 country are low.
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High volatility transmission across real estate, currency, equity and all assets.
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General equity is the main contributor to total volatility spillovers.
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Presence of unobserved common shocks among volatility spillover cycles.
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Weak volatility spillovers among business cycles and among asset volatility cycles.