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Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

Brooks, C. and Henry, Ó. T. (2000) Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Economic Modelling, 17 (4). pp. 497-513. ISSN 0264-9993

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To link to this item DOI: 10.1016/S0264-9993(99)00035-8

Abstract/Summary

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35979
Publisher:Elsevier

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