Advanced search
Publication Cover
Applied Financial Economics Volume 18, 2008 - Issue 2
Submit an article Journal homepage
87
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

Sudden shifts in variance in the Spanish market: persistence and spillover effects

José Luis Miralles Marcelo Department of Finance and Accounting, University of Extremadura, Av., Elvas s/n 06071, Badajoz, SpainCorrespondence[email protected]
,
José Luis Miralles Quirós Department of Finance and Accounting, University of Extremadura, Av., Elvas s/n 06071, Badajoz, Spain
&
María del Mar Miralles Quirós Department of Finance and Accounting, University of Extremadura, Av., Elvas s/n 06071, Badajoz, Spain
Pages 115-124 | Published online: 26 Nov 2007

Citations (8)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Po-Kai Huang. (2012) Volatility transmission across stock index futures when there are structural changes in return variance. Applied Financial Economics 22:19, pages 1603-1613.
Read now
Ekaterini Panopoulou & Theologos Pantelidis. (2009) Integration at a cost: evidence from volatility impulse response functions. Applied Financial Economics 19:11, pages 917-933.
Read now

Articles from other publishers (6)

Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis. (2020) Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks. The Japanese Economic Review 73:4, pages 647-677.
Crossref
Farooq Malik. (2021) Volatility spillover among sector equity returns under structural breaks. Review of Quantitative Finance and Accounting 58:3, pages 1063-1080.
Crossref
Massimiliano Caporin & Farooq Malik. (2020) Do structural breaks in volatility cause spurious volatility transmission?. Journal of Empirical Finance 55, pages 60-82.
Crossref
R.C. Jung & R. Maderitsch. (2014) Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?. Journal of Banking & Finance 47, pages 331-342.
Crossref
Walid M.A. Ahmed. (2012) On the interdependence structure of market sector indices: the case of Qatar Exchange. Review of Accounting and Finance 11:4, pages 468-488.
Crossref
Tomas Vyrost, Eduard Baumohl & Stefan Lyocsa. (2011) On the Relationship of Persistence and Number of Breaks in Volatility: New Evidence for Three CEE Countries. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.