Cross-Market Spillovers with 'Volatility Surprise' - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Review of Financial Economics Année : 2014

Cross-Market Spillovers with 'Volatility Surprise'

Résumé

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to fill this gap. The dataset includes four aggregate indices representing equities, bonds, foreign exchange rates and commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise’ component across markets. Against the background of the recent financial crisis, the aim is to contribute to the literature on the interdependencies of financial markets, both in conditional means and (co)variances. In addition, asset management implications are derived.

Dates et versions

hal-01529770 , version 1 (31-05-2017)

Identifiants

Citer

Sofiane Aboura, Julien Chevallier. Cross-Market Spillovers with 'Volatility Surprise'. Review of Financial Economics, 2014, 23 (4), pp.194-207. ⟨10.1016/j.rfe.2014.08.002⟩. ⟨hal-01529770⟩
86 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More