Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators

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Yarovaya, Larisa; Brzeszczynski, Janusz; Lau, Chi Keung;
(2016)

This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility estimators. Our res... View more
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