On detection of volatility spillovers in overlapping stock markets

@inproceedings{Kohonen2013OnDO,
  title={On detection of volatility spillovers in overlapping stock markets},
  author={Anssi Kohonen},
  year={2013}
}
This paper applies a recently proposed structural vector autoregressive model identification method to an established, previously unidentified theoretical model of stock market volatility spillovers. The structural model is identified and can be estimated with the method of maximum likelihood. Volatility spillovers can then be tested with the standard likelihood ratio test. This way our test, unlike the majority of the existing volatility spillover tests, has its foundations firmly in the… CONTINUE READING