Volatility contagion: A range-based volatility approach

Journal of Econometrics

Volumn 165, Issue 2, 2011, Pages 175-189

  Chiang, Min Hsien ^a   Wang, Li Min ^a  

^a NATIONAL CHENG KUNG UNIVERSITY   (Taiwan)

Author keywords

LCARR; Price range; Smooth transition copula; Subprime mortgage crisis; TVLCARR; Volatility contagion

Indexed keywords

LCARR; PRICE RANGE; SMOOTH TRANSITIONS; SUBPRIME MORTGAGE CRISIS; TVLCARR; VOLATILITY CONTAGION;

FINANCE;

COMMERCE;

EID: 80054678075     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.07.004     Document Type: Article

References (29)

1. S. Alizadeh, M.W. Brandt, and F.X. Diebold Range-based estimation of stochastic volatility models Journal of Finance LVII 3 2002 1047 1091 (Pubitemid 36932125)
2. D.W.K. Andrews Tests for parameter instability and structural change with unknown change point Econometrica 61 4 1993 821 856
3. D.W.K. Andrews, and W. Ploberger Optimal tests when a nuisance parameter is present only under the alternative Econometrica 62 6 1994 1383 1414
4. K.H. Bae, G.A. Karolyi, and R.M. Stulz A new approach to measuring financial contagion The Review of Financial Studies 16 3 2003 717 763 (Pubitemid 37496141)
5. Boyer, B.H., Gibson, M.S., Loretan, M., 1999. Pitfalls in tests for changes in correlations. Board of Governors of the Federal Reserve System, International Finance Discussion Papers 597.
6. M.W. Brandt, and C.S. Jones Volatility forecasting with range-based EGARCH models Journal of Business & Economic Statistic 24 4 2006 470 486 (Pubitemid 44661930)
7. Y.W. Cheung, and L.K. Ng A causality-in-variance test and its application to financial market prices Journal of Econometrics 72 1996 33 48 (Pubitemid 126372865)
8. R.Y. Chou Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) model Journal of Money, Credit and Banking 37 3 2005 561 582 (Pubitemid 41017053)
9. K. Christensen, and M. Podolskij Realized range-based estimation of integrated variance Journal of Econometrics 141 2007 323 349 (Pubitemid 47503519)
10. F.X. Diebold, T.A. Gunther, and A.S. Tay Evaluating density forecasts with applications to financial risk management International Economic Review 39 4 1998 863 883 (Pubitemid 128470722)
11. F.X. Diebold, and K. Yilmaz Measuring financial asset return and volatility spillovers, with application to global equity markets The Economic Journal 119 2009 158 171
12. S. Edwards, and R. Susmel Volatility dependence and contagion in emerging equity markets Journal of Development Economics 66 2001 505 532 (Pubitemid 33067049)
13. R.F. Engle, T. Ito, and W.L. Lin Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market Econometrica 58 3 1990 525 542
14. R.F. Engle, and K.F. Kroner Multivariate simultaneous generalized arch Econometric Theory 11 1 1995 122 150
15. R.F. Engle, and R. Susmel Common volatility in international equity markets Journal of Business and Economic Statistics 11 2 1993 167 176
16. K.J. Forbes, and R. Rigobon No contagion, only interdependence: measuring stock market comovements The Journal of Finance 57 5 2002 2223 2261 (Pubitemid 36937862)
17. Y. Hong A test for volatility spillover with application to exchange rates Journal of Econometrics 103 2001 183 224 (Pubitemid 33645272)
18. H. Joe Multivariate Models and Dependence Concepts Monographs in Statistics and Probability vol. 73 2001 Chapman & Hall, CRC
19. M.A. King, and S. Wadhwani Transmission of volatility between stock markets Review of Financial Studies 3 1 1990 5 33
20. M. Martens, and D. van Dijk Measuring volatility with the realized range Journal of Econometrics 138 2007 181 207 (Pubitemid 46452994)
21. M. Meitz, and T. Terasvirta Evaluating models of autoregressive conditional duration Journal of Business and Economic Statistics 24 1 2006 104 124 (Pubitemid 43098147)
22. W.K. Newey, and K.D. West A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 3 1987 703 708
23. M. Parkinson The extreme value method for estimating the variance of the rate of return Journal of Business 53 1 1980 61 65
24. A.J. Patton On the out-of-sample importance of skewness and asymmetric dependence for asset allocation Journal of Financial Econometrics 2 1 2004 130 168
25. A.J. Patton Modelling asymmetric exchange rate dependence International Economic Review 47 2 2006 527 556 (Pubitemid 43543933)
26. A.J. Patton Estimation of multivariate models for time series of possibly different lengths Journal of Applied Econometrics 21 2006 147 173 (Pubitemid 43528505)
27. D. Rivers, and Q. Vuong Model selection tests for nonlinear dynamic models Econometrics Journal 5 2002 1 39
28. J.C. Rodriguez Measuring financial contagion, a copula approach Journal of Empirical Finance 14 2007 401 423
29. H. White Estimation, Inference and Specification Analysis Econometric Society Monographs vol. 22 1994 Cambridge University Press Cambridge