Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process

DOI10.1080/07474938.2014.944793zbMath1491.62263OpenAlexW2081377289MaRDI QIDQ5080530

Cheng Hsiao, Yiguo Sun, Q. Li

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.944793

zbMATH Keywords

market volatilityexchange ratesintegrated time seriessemiparametric varying coefficient modelsvolatility spillover effect

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (1)

Changes in persistence, spurious regressions and the Fisher hypothesis

Cites Work

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• Multivariate Stochastic Variance Models
• Volatility and Links between National Stock Markets
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• Adaptive Varying-Coefficient Linear Models
• Functional-Coefficient Autoregressive Models
• Functional‐coefficient models under unit root behaviour
• A test for volatility spillover with application to exchange rates

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