Bidirectional volatility transmission between stocks and bond in East Asia – The quantile estimates based on wavelets

This paper investigates the volatility spillover effect between the national stock and bond markets in the five East Asian emerging countries. We use wavelet signal decomposing technique, GARCH models with different distribution functions and quantile regression. We find that the spillover effect is...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Studies in nonlinear dynamics and econometrics 2023-02, Vol.27 (1), p.49-65
Hauptverfasser:	Živkov, Dejan, Kovačević, Jelena, Stankov, Biljana, Stefanović, Zoran
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Bidirectionality Bond markets Bonding strength C21 C63 Coherence Cross correlation D53 Distribution functions East Asian emerging countries Emerging markets GARCH Long term quantile regression Securities markets Stochastic models stocks and bonds Volatility volatility transmission wavelet
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!