Volatility spillovers from the US to Australia and China across the GFC
Year of publication: |
2012-12
|
---|---|
Authors: | Allen, David E ; McAleer, Michael ; Powell, Robert J ; Singh, Abhay Kumar |
Institutions: | Institute of Economic Research, Kyoto University |
Subject: | Volatility spillovers | Markov-switching GARCH | Cholesky-GARCH | Time-varying correlations |
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