Hourly volatility spillovers between international equity markets

@article{Susmel1994HourlyVS,
  title={Hourly volatility spillovers between international equity markets},
  author={Raul Susmel and R. Engle},
  journal={Journal of International Money and Finance},
  year={1994},
  volume={13},
  pages={3-25}
}
Abstract This paper examines the timing of mean and volatility spillovers between New York and London equity markets. Using an ARCH model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so. The most significant effects surround the movement of share prices around the New York opening, but these results are not strong. Several new ARCH models are estimated including an asymmetric or ‘leverage’ model and a non… Expand