Clements, AE and Hurn, AS and Volkov, V, Common trends in global volatility, Journal of International Money and Finance, 67 pp. 194-214. ISSN 0261-5606 (2016) [Refereed Article]
Copyright 2016 Elsevier Ltd.
This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jump activity is only important within the equity markets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.
|Item Type:||Refereed Article|
|Keywords:||GARCH, Realised volatility, Asymmetry, Jumps, Volatility transmission|
|Research Group:||Applied economics|
|Research Field:||Macroeconomics (incl. monetary and fiscal theory)|
|Objective Division:||Economic Framework|
|Objective Field:||Monetary policy|
|UTAS Author:||Volkov, V (Mr Vladimir Volkov)|
|Web of Science® Times Cited:||1|
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