Bidirectional volatility transmission between stocks and bond in East Asia -- the quantile estimates based on wavelets

DOI10.1515/snde-2020-0113OpenAlexW4210777092MaRDI QIDQ6039121

Zoran Stefanović, Biljana Stankov, Jelena Kovačević, Dejan Živkov

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0113

zbMATH Keywords

waveletquantile regressionGARCHvolatility transmissionstocks and bondsEast Asian emerging countries

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Regression Quantiles
• Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

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