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Applied Economics Letters Volume 11, 2004 - Issue 4
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Original Articles

Transmission of returns and volatility in art markets: a multivariate GARCH analysis

Helen Higgs School of Economics and Finance, Queensland University of Technology, Brisbane, Australia
&
Andrew C. Worthington School of Economics and Finance, Queensland University of Technology, Brisbane, Australia
Pages 217-222 | Published online: 21 Aug 2006

Citations (12)

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Read on this site (4)

B. Faye, E. Le Fur & S. Prat. (2015) Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements. Applied Economics 47:29, pages 3059-3077.
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A. Maghyereh & B. Awartani. (2012) Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE. Applied Financial Economics 22:10, pages 837-848.
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Yuan-Hung Hsu Ku, Ho-Chyuan Chen & Kuang-Hua Chen. (2007) On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios. Applied Economics Letters 14:7, pages 503-509.
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Giampiero M. Gallo & Edoardo Otranto. (2007) Volatility transmission across markets: a Multichain Markov Switching model. Applied Financial Economics 17:8, pages 659-670.
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Articles from other publishers (8)

Diana Barro, Antonella Basso, Stefania Funari & Guglielmo Alessandro Visentin. (2023) Portfolio Diversification Including Art as an Alternative Asset. SSRN Electronic Journal.
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Taly I. (2015) Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea. East Asian Economic Review 19:3, pages 275-322.
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Giampiero M. Gallo & Edoardo Otranto. (2015) Forecasting realized volatility with changing average levels. International Journal of Forecasting 31:3, pages 620-634.
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Hong Miao, Sanjay Ramchander & Marc W. Simpson. (2011) Return and Volatility Transmission in U.S. Housing Markets. Real Estate Economics 39:4, pages 701-741.
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Xiaofeng Liu & Hua Cao. (2011) Price limit and the stability of stock market: An application based on multi-agent system. Price limit and the stability of stock market: An application based on multi-agent system.
Emanuele Bacchiocchi & Marta Bevilacqua. (2009) International crises, instability periods and contagion: the case of the ERM. International Review of Economics 56:2, pages 105-122.
Crossref
Giampiero M. Gallo & Edoardo Otranto. (2014) Forecasting Realized Volatility with Changes of Regimes. SSRN Electronic Journal.
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Troy Ballesteros. (2011) Efficiency Tests in the Art Market Using Cointegration and the Error Correction Model. SSRN Electronic Journal.
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