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Volatility spillover effects from Japan and the US to the Pacific–Basin · Study

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ArticleVolatility spillover effects from Japan and the US to the Pacific–Basin

Angela Ng2000

Article2000

Volatility spillover effects from Japan and the US to the Pacific–Basin

670 citations·0/0 files stored·Journal of International Money and Finance

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1995Multivariate Simultaneous Generalized ARCH 1992ARCH modeling in finance 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1993Measuring and Testing the Impact of News on Volatility

Cited by

2000Asymmetric Volatility and Risk in Equity Markets 2005Market Integration and Contagion 2003A New Approach to Measuring Financial Contagion 2003Emerging markets finance 2000A New Approach to Measuring Financial Contagion 2005Volatility Spillover Effects in European Equity Markets

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Year2000

Typearticle

Published2000-04-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations670

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0261-5606(00)00006-1

openalex_workW2066580768

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2002

Are Financial Assets Priced Locally or Globally?

2002Financial market integration in Europe: on the effects of EMU on stock markets