Volatility spillovers in east asian financial markets: A mem-based approach

Review of Economics and Statistics

Volumn 94, Issue 1, 2012, Pages 222-233

  Engle, Robert F ^a   Gallo, Giampiero M ^b   Velucchi, Margherita ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84858589265     PISSN: 00346535     EISSN: 15309142     Source Type: Journal    
DOI: 10.1162/REST_a_00167     Document Type: Article

References (37)

1. Alizadeh, Sassan, Michael W. Brandt, and Francis X. Diebold, "Range-Based Estimation of Stochastic Volatility Models," The Journal of Finance 57 (2002), 1047-1091.
2. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Paul Labys, "Modeling and Forecasting Realized Volatility," Econometrica 71 (2003), 579-625.
3. Baig, Taimur, and Ilan Goldfajn, "Financial Market Contagion in the Asian Crisis," IMF staff papers no. 46 (1999), 167-195.
4. Barndorff-Nielsen, Ole, and Neil Shephard, "Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models," Journal of the Royal Statistical Society (series B) 64 (2002), 253-280
5. Bollerslev Tim, and Jeffrey Wooldridge, "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances," Econometric Reviews 11 (1992), 143-172
6. Brownlees, Christian T., and Giampiero M. Gallo, "Comparison of Volatility Measures: A Risk Management Perspective," Journal of Financial Econometrics 8 (2010), 29-56.
7. Caramazza, Francesco, Luca A. Ricci, and Raul Salgado, "International Financial Contagion in Currency Crises," Journal of International Money and Finance 23 (2004), 51-70.
8. Cipollini, Fabrizio, Robert F. Engle, and Giampiero M. Gallo, "Vector Multiplicative Error Models: Representation and Inference," NBER working paper no. W12690 (2006).
9. Classens, Steijn, and Kristin Forbes (Eds.), International and Financial Contagion (Boston: Kluwer, 2001).
10. Diebold, Francis X., and Kamil Yilmaz, "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal 119 (2009), 158-171.
11. Dungey, Mardi, andVance Martin, "Unravelling Financial Market Linkages during Crises," Journal of Applied Econometrics 22 (2007), 89-119
12. Dungey Mardi, and Demosthenes Tambakis (Eds.), Identifying International Financial Contagion: Progress and Challenges (New York: Oxford University Press, 2005).
13. Edwards, Sebastian, and Raul Susmel, "Volatility Dependence and Contagion in Emerging Equity Markets," Journal of Development Economics 66 (2001), 505-532
14. Edwards, Sebastian, and Raul Susmel, "Interest Rate Volatility in Emerging Markets," this review, 85 (2003), 328-348
15. Eichengreen, Barry, Andrew Rose, and CharlesWyplosz, "Contagious Currency Crises: First Tests," Scandinavian Journal of Economics 98 (1996), 463-484
16. Engle, Robert F., "New Frontiers for ARCH Models," Journal of Applied Econometrics 17 (2002), 425-446.
17. Engle, Robert F., and Giampiero M. Gallo, "A Multiple Indicators Model for Volatility Using Intra-Daily Data," Journal of Econometrics 131 (2006), 3-27.
18. Engle, Robert F., Takatoshi Ito, and Wen-Ling Lin, "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica 58 (1990), 525-542.
19. Fernandez-Izquierdo, Àngeles, and Juan Angel Lafuente, "International Transmission of Stock Exchange Volatility: Empirical Evidence from the Asian Crisis," Global Finance Journal 15 (2004), 125- 137
20. Forbes Kristin, "The Asian Flu and the Russian Virus: Firm-Level Evidence on How Crises Are Transmitted Internationally," Journal of International Economics 63 (2004), 59-92
21. Forbes, Kristin, and Roberto Rigobon, "Measuring Contagion: Conceptual and Empirical Issues," in (pp. 43-66), Steijn Claessens and Kristin Forbes (Eds.), International Financial Contagion (Boston: Kluwer, 2001).
22. Forbes, Kristin, and Roberto Rigobon, "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance 57 (2002), 2223-2261
23. Fratzscher, Marcel, "On Currency Crises and Contagion," International Journal of Finance and Economics 8 (2003), 109-129
24. Gallant, A. Ronald, Peter E. Rossi, and George Tauchen, "Nonlinear Dynamic Structures," Econometrica 61 (1993), 871-907.
25. Gallo, Giampiero M., "Modelling the Impact of Overnight Surprises on Intra-Daily Volatility," Australian Economic Papers 40 (2001), 567- 580.
26. Gallo, Giampiero, M., and Edoardo Otranto, "Volatility Transmission across Markets: A Multi-Chain Markov Switching Model," Applied Financial Economics 17 (2007), 659-670.
27. Hardy, Daniel C., and Celia Pazarba̧sǒglu, "Leading Indicators of Banking Crises:Was Asia Different?" IMF working papers no. 98/91 (1998). Hill, Hal, and Takashi Shiraishi, "Indonesia after the Asian Crisis," Asian Economic Policy Review 2 (2007), 123-141.
28. In, Francis, Sangbaue Kim, Jai Hyung Yoon, and Christopher Viney, "Dynamic Interdependence and Volatility Transmissions of Asian Stock Markets: Evidence from the Asian Crisis," International Review of Financial Analysis 10 (2001), 87-96
29. Ito, Takatoshi, "Asian Currency Crisis and the International Monetary Fund, 10 Years Later: Overview," Asian Economic Policy Review 2 (2007), 16-49
30. Ito, Takatoshi, Akira Kojima, Colin McKenzie, and Shujiro Urata, "Ten Years after the Asian Crisis: What HaveWe Learned or Not Learned? Editors' Overview," Asian Economic Policy Review 2 (2007), 1-15
31. Kaminsky, Graciela, "Currency and Banking Crises: The Early Warnings of Distress," FED international finance discussion papers, no. 629 (1999).
32. Kaminsky Graciela, Saul Lizondo, and Carmen M. Reinhart, "Leading Indicators of Currency Crises," IMF staff papers no. 45 (1998), 11-48.
33. Kaminsky, Graciela, and Carmen M. Reinhart, "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review 89 (1999), 473-500.
34. Koop, Gary, M. Hashem Pesaran, and Simon M. Potter, "Impulse Response Analysis in Nonlinear Multivariate Models," Journal of Econometrics 74 (1996), 119-147.
35. Parkinson, Michael, "The Extreme Value Method for Estimating the Variance of the Rate of Return," Journal of Business 53:1 (1980), 61-65
36. Pericoli, Marcello, and Massimo Sbracia, "A Primer on Financial Contagion," Journal of Economic Surveys 17 (2003), 571-608
37. Van Rijckeghem, Caroline, and Beatrice Weder, "Sources of Contagion: Is It Finance or Trade?" Journal of International Economics 54 (2001), 293-308