Chiang, Min-Hsien; Wang, Li-Min - In: Journal of Econometrics 165 (2011) 2, pp. 175-189
This article proposes a new approach to evaluate volatility contagion in financial markets. A time-varying logarithmic conditional autoregressive range model with the lognormal distribution (TVLCARR) is proposed to capture the possible smooth transition in the range process. Additionally, a...