Spillovers of stock return volatility to Asian equity markets from Japan and the US

By Tatsuyoshi Miyakoshi. 2003

198 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e2cf6dc9eb3b4583aed5dcff9fce2f7b2af9f5ed

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In Economics and Econometrics

1. Hong Li

In Finance

1. Hong Li

Citations in the corpus

• Volatility Spillovers and Dynamic Correlation in European Bond Markets (2006, unknown): “Miyakoshi (2003) uses a bivariate EGARCH model between local”
• Volatility Transmission Models: A Survey (2006, unknown): “These multivariate studies try to differentiate local, regional and global shocks (see, for example, Scheicher (2001) or Miyakoshi (2003)).”
• International linkages of the Chinese stock exchanges: a multivariate GARCH analysis (2007, background): “Miyakoshi ( 2003 ) includes the returns of the US market as an exogenous variable in a bivariate GARCH model, i.”