Hsiao, Fujen Daniel; Hu, Yan - In: The International Journal of Business and Finance Research 8 (2014) 1, pp. 31-44
This paper uses the multivariate GARCH methodology to investigate spillover effects of deposit rates and its volatility among the United States, Japan and German. Empirical results show that multivariate GARCH (1,1) is appropriate and the deposit rate of one country is affected by the domestic...