Volatility spillovers, interdependence and comovements: A Markov Switching approach

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 3011-3026

  Gallo, Giampiero M ^a   Otranto, Edoardo ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF SASSARI   (Italy)

Author keywords

Comovements; Markov Switching; Multiple chains; Spillover effect; Volatility

Indexed keywords

MATHEMATICAL MODELS; PROBABILITY; SWITCHING;

MARKOV SWITCHING; MULTIPLE CHAINS;

MARKOV PROCESSES;

EID: 39049106114     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.09.016     Document Type: Article

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