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A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets · Study

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PreprintA MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets

Robert F. Engle2008

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Preprintgreen2008

A MEM-Based Analysis of Volatility Spillovers in East Asian Financial Markets

Robert F. Engle · Giampiero Maria Gallo · Margherita Velucchi

20 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1996Impulse response analysis in nonlinear multivariate models 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1998Leading Indicators of Currency Crises 2002Range‐Based Estimation of Stochastic Volatility Models 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements

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2008Market interdependence and financial volatility transmission in East Asiaarticle · 26 shared references 2010Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approacharticle · 21 shared references 2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approacharticle · 13 shared references 2015Capturing the Spillover Effect With Multiplicative Error Modelsarticle · 11 shared references 2006A Spatial Modelling Approach to Contagion Among Emerging Economiesarticle · 9 shared references 2009Multivariate contagion and interdependencearticle · 9 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1283254

openalex_workW2124162438

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