Verfügbarkeit: Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States: Tests in a Bivariate Garch Framework

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of ano...

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1. Verfasser:	Deb, Parha (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 1999
Schriftenreihe:	IMF Working Papers Working Paper No. 99/158
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987
Beschreibung:	1 Online-Ressource (25 p)
ISBN:	145185756X 9781451857566

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spelling	Deb, Parha Verfasser aut Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework Deb, Parha Washington, D.C International Monetary Fund 1999 1 Online-Ressource (25 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 99/158 This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987 Online-Ausg Darbar, Salim M. Sonstige oth http://elibrary.imf.org/view/IMF001/04310-9781451857566/04310-9781451857566/04310-9781451857566.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Deb, Parha Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework
title	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework
title_auth	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework
title_exact_search	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework
title_exact_search_txtP	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework
title_full	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework Deb, Parha
title_fullStr	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework Deb, Parha
title_full_unstemmed	Linkages Among Asset Markets in the United States Tests in a Bivariate Garch Framework Deb, Parha
title_short	Linkages Among Asset Markets in the United States
title_sort	linkages among asset markets in the united states tests in a bivariate garch framework
title_sub	Tests in a Bivariate Garch Framework
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