Common Volatility in International Equity Markets
Bibliographic Data
| ID | 19418985 |
|---|---|
| Authors | Robert F Engle (0009-0009-9491-1510, University of California San Diego), Raúl Susmel (University of South Florida) |
| Year | 1993 |
| Volume | 11 |
| Issue | 2 |
| Pages | 167-176 |
| Publication date | 1993-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1993.10509945 |
| OpenAlex | W2003219999 |
| Language | EN |
| Citations received | 5 |
| References cited | 12 |
In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a test recently developed by Engle and Kozicki. This test is also used to assess the validity of a one-factor autoregressive conditional heteroscedasticity model. We find that some international stock markets have the same time-varying volatility
Autoregressive conditional heteroskedasticity · Autoregressive model · Econometrics · Economics · Financial economics · Forward volatility · Heteroscedasticity · Implied volatility · Volatility smile · Volatility swap · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Market Dynamics and Volatility
A Revisit of International Stock Market Linkages
Investment risk-taking and benefit adequacy under automatic balancing mechanism in the Japanese public pension system
United States Oil Fund volatility prediction
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility
Principal Volatility Component Analysis
| Unique citing works | 5 |
|---|---|
| Citations per year | 0,16 |
| Citation span | 1995 - 2023 (29) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 4 |