Shimada, Tatsuyoshi Junji; Tsukuda, Yoshihiko; … - Graduate School of Economics, Osaka University - 2007
effect separately. Although the EGARCH and SV models lead to similar results about the spillover effects, the SV model is … conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and … SV models, which simultaneously allow two kinds of asymmetric international transmissions across the markets, the result …