Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia.

This paper examines the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques.

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Year of publication:	1999
Authors:	Brooks, C. ; Henry, O.T.
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	FINANCIAL MARKET \| ECONOMETRIC MODELS \| FINANCIAL PLANNING

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Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 676 26 pages
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005750876