Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach

Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach

This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009) on stock market volatility interactions and modify the BEKK-MGAR...

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Bibliographic Details
Main Authors: Dahiru A. Bala, Taro Takimoto
Format: Article
Language:English
Published: Elsevier 2017-03-01
Series:Borsa Istanbul Review
Subjects:
Stock markets volatility
CCC-MGARCH
Spillover
BEKK-MGARCH
DCC-with-skewed-t
Financial crises
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845016301582

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http://www.sciencedirect.com/science/article/pii/S2214845016301582

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