Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Kasch, Maria ; Caporin, Massimiliano

URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id...
Additional URL: http://dx.doi.org/10.2139/ssrn.968233
Document Type: Working paper
Year of publication: 2012
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 000 Generalities
Abstract: This paper proposes a modeling framework for the study of changes in cross-market comovement conditional on volatility regimes. Methodologically, we extend the Dynamic Conditional Correlation multivariate GARCH model to allow the dynamics of correlations to depend on asset variances through a threshold structure. The empirical application of our model to a sample of international stock markets in 1994-2011 indicates that the periods of market turbulence are associated with an increase in cross-market comovement. The modeling framework proposed in the paper represents a useful tool for the study of market contagion.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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Kasch, Maria ; Caporin, Massimiliano (2012) Volatility Threshold Dynamic Conditional Correlations: An International Analysis. SSRN Working Paper Series Rochester, NY [Working paper]

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