Spillovers and jumps in global markets: A comparative analysis

Autor: Márcio Poletti Laurini, Rodolfo C. Moura

Publikováno v: Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual)
Universidade de São Paulo (USP)
instacron:USP

We analyse the relation between volatility spillovers and jumps in financial markets. For this, we compared the volatility spillover index proposed by Diebold and Yilmaz, The Economic Journal, 2009, 119, 158–171 with a global volatility component,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e07761e089ef37fe8ab5e67f7d78cd8
https://doi.org/10.1002/ijfe.2105