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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifier
dc.contributor.authorChevallier, Julien
HAL ID: 7536
*
dc.date.accessioned2014-08-26T08:07:44Z
dc.date.available2014-08-26T08:07:44Z
dc.date.issued2014-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13806
dc.language.isoenen
dc.subjectCross-market relationshipsen
dc.subjectVolatility surpriseen
dc.subjectVolatility spilloveren
dc.subjectADCCXen
dc.subjectAsset managementen
dc.subjectCrisis
dc.subjectExchange Rate
dc.subjectFinancial Market
dc.subjectForeign Exchange
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelC.C4.C40en
dc.subject.classificationjelF.F3.F31
dc.subject.classificationjelG.G1.G10
dc.subject.classificationjelG.G1.G15
dc.subject.classificationjelG.G3.G32
dc.titleCross-Market Spillovers with 'Volatility Surprise'en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to fill this gap. The dataset includes four aggregate indices representing equities, bonds, foreign exchange rates and commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise’ component across markets. Against the background of the recent financial crisis, the aim is to contribute to the literature on the interdependencies of financial markets, both in conditional means and (co)variances. In addition, asset management implications are derived.en
dc.relation.isversionofjnlnameReview of Financial Economics
dc.relation.isversionofjnlvol23en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2014-11
dc.relation.isversionofjnlpages194–207en
dc.relation.isversionofdoi10.1016/j.rfe.2014.08.002en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2472443
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01529770*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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