Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework

Tests in a Bivariate GARCH Framework

Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond,... READ MORE...

Publication date: November 1999
ISBN 9781451857566
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