Volatility Spillovers and Price Interdependencies; A Dynamic non Parametric Approach

dc.contributor.author	Giannopoulos, Kostas
dc.contributor.author	Nekhili, Ramzi
dc.contributor.author	Koutmos, Gregory
dc.date.accessioned	2015-12-08T14:53:58Z
dc.date.available	2015-12-08T14:53:58Z
dc.date.issued	2010
dc.identifier.issn	1450-2887
dc.identifier.uri	http://hdl.handle.net/11728/6414
dc.description.abstract	This paper investigates the volatility spillovers of four major equity markets using a new approach namely, the Filtered Historical Simulation approach (FHS). The FHS captures very effectively the changes and interactions in the first and second moments. A dynamic system based on Filtered Historical Simulation (FHS) and nonparametric regression is used to obtain estimates of the variance-covariance of the set of standardised residuals. This system is then used to examine dependencies in covariance changes and to carry an impulse response analysis to investigate the dynamic responses to volatility shocks	en_UK
dc.language.iso	en	en_UK
dc.publisher	International Research Journal of Finance and Economics	en_UK
dc.rights	© EuroJournals Publishing, Inc. 2010	en_UK
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	en_UK
dc.subject	FHS	en_UK
dc.subject	Nonparametric regression	en_UK
dc.subject	VAR	en_UK
dc.subject	Impulse response functions	en_UK
dc.title	Volatility Spillovers and Price Interdependencies; A Dynamic non Parametric Approach	en_UK
dc.type	Article	en_UK