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Volatility spillovers, interdependence and comovements: A Markov Switching approach

Volatility spillovers, interdependence and comovements: a Markov switching approach
descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Feb 2008 Italy English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 52, pages 3,011-3,026 (issn: 0167-9473, Copyright policy )
Authors: Giampiero M. Gallo; Edoardo Otranto;

doi: 10.1016/j.csda.2007.09.016

handle: 11388/150444 , 11573/1730795 , 11573/1730750 , 11570/1910158 , 2158/252733

Volatility spillovers, interdependence and comovements: A Markov Switching approach

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
Italy
Related Organizations
Keywords

Applications of statistics to actuarial sciences and financial mathematics, comovements, Markov switching, volatility, Markov switching; multiple chains; volatility; spillover effects; comovement, Time series, auto-correlation, regression, etc. in statistics (GARCH), spillover effect, Markov Switching, multiple chains, volatility, spillover effect, comovements., multiple chains, Computational methods for problems pertaining to statistics, Markov Switching; Multiple chains; Volatility; Spillover effect; Comovements, jel: jel:C52, jel: jel:C53, jel: jel:C32

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 93
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
93
Top 10%
Top 10%
Top 10%
bronze