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Linkages Among Asset Markets in the United States :, Tests in a Bivariate GARCH Framework, Parha Deb, Salim Darbar

Creator
Contributor
Abstract
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987
Language
eng
Literary Form
non fiction
Note
Bibliographic Level Mode of Issuance: Monograph
Physical Description
1 online resource (25 pages)
Form Of Item
online
Isbn
9781462327676

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