Skip navigation
Full metadata record
DC FieldValueLanguage
dc.contributor.authorEngle, Robert-
dc.contributor.authorGallo, Giampiero-
dc.contributor.authorVelucchi, Margherita-
dc.date.accessioned2009-02-09T19:09:41Z-
dc.date.available2009-02-09T19:09:41Z-
dc.date.issued2009-02-09T19:09:41Z-
dc.identifier.urihttp://hdl.handle.net/2451/27882-
dc.description.abstractTransmission mechanisms in financial markets reflect the degree of integration of capital markets, as well as the relative importance of real economies. Market volatility has components which may behave differently across quiet and turbulent periods, but appear to behave in similar ways from market to market. In this paper we suggest a Multiplicative Error Model (MEM) approach to study volatility spillovers among a set of markets, using as a proxy, the market daily range. We model the dynamics of the expected volatility of one market including interactions with the past daily ranges of other markets, building a fully interdependent model. We analyze eight East Asian markets in the period 1995-2006, devoting particular attention to the treatment of the 1997-1998 turbulent period. We find no evidence of independent markets while several interdependence relationships can be stressed. Hong Kong turns out to be the most important market while Taiwan seems to have suffered quite limited effects from the crisis. Impulse response functions and multiperiod forecast profiles are developed and suggest a build-up in the spillover effects.en
dc.format.extent645097 bytes-
dc.format.mimetypeapplication/pdf-
dc.relation.ispartofseriesFIN-08-036en
dc.titleA MEM-based Analysis of Volatility Spillovers in East Asian Financial Marketsen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

Files in This Item:
File Description SizeFormat 
wpa08036.pdf629.98 kBAdobe PDFView/Open


Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.