A test for volatility spillover with application to exchange rates

Journal of Econometrics

Volumn 103, Issue 1-2, 2001, Pages 183-224

  Hong, Yongmiao ^a,b  

^a Department of Obstetrics Gynecology   (United States)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

Causality in variance; Cross correlation; Exchange rate; GARCH; Granger causality; Standardized residual; Volatility spillover

Indexed keywords

EID: 0038118392     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00043-4     Document Type: Article

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