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    题名: Global and regional range-based volatility spillover effects
    作者: Lee, Yen-Hsien
    关键词: The bivariate Weibull distribution;Volatility spillover;Conditional autoregressive range model
    日期: 2013-03-01
    上传时间: 2017-02-18 02:10:24 (UTC+8)
    摘要: This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and Taiwan stock markets. The new BWCARR model is more credible and efficient than the CARR model. Moreover, the range-based volatility for the US and Japan has an impact on Taiwan, indicating that there exists a range-based global and regional stock market spillover effect that has an impact on the Taiwanese stock market.
    關聯: Emerging Markets Review 14, 1-10
    DOI: 10.1016/j.ememar.2012.09.007
    显示于类别:[財務金融學系暨研究所] 期刊論文

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