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Applied Economics Letters Volume 14, 2007 - Issue 2
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Original Articles

Using multivariate stochastic volatility models to investigate the interactions among NASDAQ and major Asian stock indices

Shieh-Liang Chen Department of Business Administration, National Changhua University of Education, Changhua, Taiwan
,
Shian-Chang Huang Department of Business Administration, National Changhua University of Education, Changhua, TaiwanCorrespondence[email protected]
&
Yi-Mien Lin Graduate Institute of Accounting, National Chung Hsing University, Taichung, Taiwan
Pages 127-133 | Published online: 20 Feb 2007

Citations (7)

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Read on this site (2)

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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Enzo Weber. (2010) Volatility and causality in Asia Pacific financial markets. Applied Financial Economics 20:16, pages 1269-1292.
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Articles from other publishers (5)

Changryong Baek & Minsu Park. (2020) Sparse vector heterogeneous autoregressive modeling for realized volatility. Journal of the Korean Statistical Society 50:2, pages 495-510.
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Yan Zhang. (2018) China, Japan and the US Stock Markets and the Global Financial Crisis. Asia-Pacific Financial Markets 25:1, pages 23-45.
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Aktham I. Maghyereh, Basel Awartani & Khalil Al Hilu. (2015) Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis. The Quarterly Review of Economics and Finance 56, pages 123-138.
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Basel Awartani, Aktham I. Maghyereh & Mohammad Al Shiab. (2013) Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries. Journal of International Financial Markets, Institutions and Money 27, pages 224-242.
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Mike K. P. So & C. Y. Choi. (2009) A threshold factor multivariate stochastic volatility model. Journal of Forecasting 28:8, pages 712-735.
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