Volatility Spillovers from Australia's major trading partners across the GFC

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• 作者：David E. Allen^a ; ^{profallen2007@gmail.com} ; Michael McAleer^b ; ^c ; ^e ; ^f ; ^g ; Robert J. Powell^d ; Abhay K. Singh^d
• 关键词：G12 ; C58
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：47
• 期：Complete
• 页码：159-175
• 全文大小：1387 K
• 卷排序：47

文摘

Analysis of volatility spillover effects from Australia's major trading partners. Explores the impact of the GFC. Features Diebold Yilmaz Spillover Index Model and Trivariate Cholesky GARCH model. US and Hong Kong markets have the greatest influence on the Australian market.