Volatility contagion: a range-based volatility approach

DOI10.1016/J.JECONOM.2011.07.004zbMath1441.62646OpenAlexW2023286212MaRDI QIDQ738077

Min-Hsien Chiang, Li-Min Wang

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.004

zbMATH Keywords

LCARRprice rangesmooth transition copulasubprime mortgage crisisTVLCARRvolatility contagion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (5)

Robust minimum distance estimators for the CARR(1,1) model ⋮ Multivariate Wishart stochastic volatility and changes in regime ⋮ Stock market contagion: a new approach ⋮ Statistical inference of locally stationary functional coefficient models ⋮ Improving forecasts with the co-range dynamic conditional correlation model

Cites Work

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• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Model selection tests for nonlinear dynamic models
• A test for volatility spillover with application to exchange rates

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