مرکز منطقه ای اطلاع رساني علوم و فناوري - Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

Title of article :

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

Author/Authors :

Chris Brooks، نويسنده , , ?lan T. Henry، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2000

Pages :

From page :

497

To page :

513

Keywords :

Non-linear causality , Multivariate asymmetric GARCH , Volatilityspillovers , Equity return volatility

Journal title :

Economic Modelling

Serial Year :

2000

Journal title :

Economic Modelling

Record number :

227474

Link To Document :