Testing for extreme volatility transmission with realized volatility measures

Christophe Boucher, Gilles de Truchis, Elena Dumitrescu, Sessi Tokpavi

Year of publication:	[2017]
Authors:	Boucher, Christophe ; Truchis, Gilles de ; Dumitrescu, Elena-Ivona ; Tokpavi, Sessi
Publisher:	Nanterre : Université de Paris Ouest Nanterre La Défense
Subject:	Extreme volatility transmission \| Granger causality \| Integrated variance \| Realized variance \| Semi-parametric test \| Financial contagion \| Volatilität \| Volatility \| Kausalanalyse \| Causality analysis \| Schätzung \| Estimation \| Varianzanalyse \| Analysis of variance \| Ansteckungseffekt \| Contagion effect \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Börsenkurs \| Share price \| Finanzmarkt \| Financial market \| Zeitreihenanalyse \| Time series analysis \| ARCH-Modell \| ARCH model