Common Volatility Spillover Analysis and Empirical Study on the Financial Market Based on the Independent Components

Author

Feng, Zhang Rui ; Zou Qing-wu ; Jing, Chen

Author_Institution

Sch. of Finance & Taxation, Hebei Univ. of Econ. & Bus.

fYear

2006

fDate

5-7 Oct. 2006

Firstpage

1714

Lastpage

1718

Abstract

It is very important to mensurate volatility spillover for the dynamic investment portfolio and risk management. The known literature tend to study whether volatility spillover exists between two financial markets. However, common volatility spillover from multi-financial markets to one financial market has not yet been mentioned. By first using independent components analysis (ICA) and GARCH model, we study common volatility spillover from the multi-financial markets to one financial market and conduct the empirical analysis

Keywords

autoregressive processes; econometrics; financial management; independent component analysis; investment; risk management; stock markets; GARCH model; ICA; common volatility spillover analysis; dynamic investment portfolio management; independent component analysis; multifinancial markets; risk management; Education; Finance; Forward contracts; Gaussian distribution; Independent component analysis; Investments; Portfolios; Principal component analysis; Risk analysis; Testing; Common volatility spillover; Financial market; GARCH model; Independent components analysis (ICA);

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on

Conference_Location

Lille

Print_ISBN

7-5603-2355-3

Type

conf

DOI

10.1109/ICMSE.2006.314066

Filename

4105170