Artikel
Volatility transmission across financial markets: A semiparametric analysis
This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies.
- Sprache
-
Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 8 ; Pages: 1-13 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
International Financial Markets
- Thema
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fractional cointegration
high-frequency data
realized volatility
semiparametric estimation
- Ereignis
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Geistige Schöpfung
- (wer)
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Kolaiti, Theoplasti
Mboya, Mwasi
Sibbertsen, Philipp
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
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doi:10.3390/jrfm13080160
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Kolaiti, Theoplasti
- Mboya, Mwasi
- Sibbertsen, Philipp
- MDPI
Entstanden
- 2020
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