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ArticleAsymmetric volatility spillover in the Tokyo stock exchange

Mario G. C. Reyes2001

Article2001

Asymmetric volatility spillover in the Tokyo stock exchange

Mario G. C. Reyes

49 citations·0/0 files stored·Journal of Economics and Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1991Efficient Capital Markets: II 1993Measuring and Testing the Impact of News on Volatility 1995Is the correlation in international equity returns constant: 1960–1990?1990When Are Contrarian Profits Due to Stock Market Overreaction?1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy 1997Price and volatility spillovers in Scandinavian stock markets

Cited by

2003Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets 2009Oil Prices and Equity Returns in the BRIC Countries 2010FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION 2019Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models 2006Valuing volatility spillovers 2005

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Year2001

Typearticle

Published2001-06-01

VenueJournal of Economics and Finance

ISSN-L1055-0925

Languageen

Citations49

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/bf02744523

openalex_workW2084539358

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Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain

2017Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries

2011Modelling Australian stock market volatility