International market links and volatility transmission

Resumo

This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we further condition on the volatility of another market. We employ nonparametric methods to estimate the conditional densities and model-free realized measures of volatility, allowing for both microstructure noise and jumps. We establish the asymptotic normality of the test statistic as well as the first-order validity of the bootstrap analog. Finally, we uncover significant volatility spillovers between the stock markets in China, Japan, UK and US. (c) 2012 Elsevier B.V. All rights reserved.

Ficha do documento

Tipo

Artigo científico

Ano

2012

Instituição

Elsevier Science Sa

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1016/j.jeconom.2012.03.003

Identificador

oai:repositorio.fgv.br:10438/23304

Temas

Economia

Palavras-chave

Conditional independenceJump-diffusionNoncausalityQuadratic variationRealized varianceBootstrapEconomiaAnálise de variânciaVolatilidade (Finanças)