Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea
The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are...
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| Formato: | Artigo |
| Idioma: | English |
| Publicado em: |
Korea Institute for International Economic Policy
2015-09-01
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| coleção: | East Asian Economic Review |
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| Acesso em linha: | http://dx.doi.org/10.11644/KIEP.JEAI.2015.19.3.299 |