ESTIMATING VOLATILITY SPILLOVERS, DYNAMIC CAUSAL LINKAGES AND INTERNATIONAL CONTAGION PATTERNS BETWEEN DEVELOPED STOCK MARKETS : AN EMPIRICAL CASE STUDY FOR USA, CANADA, FRANCE AND UK
This research paper examines in a comparative manner the long-term behavior of certain developed economies, such as USA, Canada, France and UK. The applied financial econometrics approach includes relevant research methods such as descriptive statistics, Unit Root Test, Hodrick-Prescott (HP) filte...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academica Brâncuşi
2019-06-01
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| Series: | Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie |
| Subjects: | |
| Online Access: | http://www.utgjiu.ro/revista/ec/pdf/2019-03/05_Spulbar.pdf |
| Summary: | This research paper examines in a comparative manner the long-term behavior of certain developed economies,
such as USA, Canada, France and UK. The applied financial econometrics approach includes relevant research
methods such as descriptive statistics, Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey-Fuller
stationary test, BDS test, Granger causality test/Vector AutoRegression (VAR) model and GARCH (1, 1) model. The
empirical results provide additional evidence on volatility spillovers, dynamic causal linkages and international
contagion patterns between developed stock markets considering international portofolio diversification benefits. The
sample financial data series are based on daily returns of selected stock markets major indices, ie during the period
from January 2000 until June 2018 |
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| ISSN: | 1844-7007 1844-7007 |