Volatility spillovers and linkages in Asian stock markets
Diebold-Yilmaz spilloverindexes are computed for weekly return volatilities based on daily benchmarkstock indexes of US, UK and ten Asian countries. We found (i) the strengthening ofoverall volatility spillovers is not a temporary surge but persisted after thecrisis; (ii) the susceptibility ofindivi...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2017
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2131 https://ink.library.smu.edu.sg/context/soe_research/article/3131/viewcontent/Volatility_Spillovers_in_Asian_Stock_Markets_chow_2017_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |