The volatility spillover effect between index options and their underlying markets : evidence from the US, the UK, and Taiwan
Chia-Ying Chan, Christian de Peretti, Ming-Chun Wang and Hong-Min Chen
| Year of publication: |
October 2017
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|---|---|
| Authors: | Chan, Chia-Ying ; Peretti, Christian de ; Wang, Ming-Chun ; Chen, Hong-Min |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 46.2017, 5, p. 700-733
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| Subject: | Volatility spillover | Leverage effect | Bivariate GARCH-BEKK | Bivariate GARCH-DCC | Impulse response function | Volatilität | Volatility | Taiwan | USA | United States | Spillover-Effekt | Spillover effect | Großbritannien | United Kingdom | Index-Futures | Index futures | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Schätzung | Estimation |