Volatility Threshold Conditional Correlations: An International Analysis

Kasch, Maria ; Caporin, Massimiliano

DOI: https://doi.org/10.1093/jjfinec/nbs028
URL: https://academic.oup.com/jfec/article-lookup/doi/1...
Document Type: Article
Year of publication: 2013
The title of a journal, publication series: Journal of Financial Econometrics
Volume: 11
Issue number: 4
Page range: 706-742
Place of publication: Oxford
Publishing house: Univ. Press
ISSN: 1479-8409 , 1479-8417
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 330 Economics
Abstract: This article 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 article represents a useful tool for the study of market contagion.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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