International market links and volatility transmission

Journal of Econometrics

Volumn 170, Issue 1, 2012, Pages 117-141

  Corradi, Valentina ^a   Distaso, Walter ^b   Fernandes, Marcelo ^c,d  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

^c QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^d FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

Author keywords

Conditional independence; Jump diffusion; Noncausality; Quadratic variation; Realized variance

Indexed keywords

CONDITIONAL INDEPENDENCES; JUMP-DIFFUSION; NONCAUSALITY; QUADRATIC VARIATIONS; REALIZED VARIANCE;

FINANCE; STATISTICAL TESTS;

INTERNATIONAL TRADE;

EID: 84863984886     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.03.003     Document Type: Article

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