A test for volatility spillover with application to exchange rates

By Yongmiao Hong. 2001

427 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff208bf1d89c7b44579121965328a911ebead7d6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Liangjun Su
2. Halbert White
3. Ş. Nazlıoğlu
4. Gangjin Wang
5. Ugur Soytas
6. Chi Xie
7. Tae-Hwy Lee
8. Rangan Gupta

In Finance

1. Liangjun Su
2. Halbert White
3. Tae-Hwy Lee
4. Weiping Yang
5. Gangjin Wang
6. Chi Xie
7. Rangan Gupta
8. Ş. Nazlıoğlu

Citations in the corpus

• Oil prices and financial stress: A volatility spillover analysis (2015, methodology): “Earlier Granger causality-in-variance tests (Cheung and Ng, 1996; Hong, 2001) rely on the cross-correlation functions (CCF) of the standardized residuals from univariate GARCH(5) equations of any two series.”
• Volatility Transmission in Emerging European Foreign Exchange Markets (2011, background): “Hong (2001) belongs to a strand of literature that develops formal testing tools for causality in variance using low-frequency data.”
• A Practical Guide to Forecasting Financial Market Volatility (2005, background): “However, there have been a number of studies that examined cross-border volatility spillover in stock markets (Hamao, Masulis and Ng, 1989; King and Wadhwani, 1990; Karolyi, 1995; Koutmos and Booth, 1995), exchange rates (Baillie, Bollerslev and Redfearn, 1993; Hong, 2001), and interest rates (Tse a”
• A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE (2008, background): “One exception is Hong (2001) who proposes a test for volatility spillover and applies it to study the volatility spillover between two weekly nominal U.S. dollar exchange rates, Deutschemark (DM) and Japanese yen (YEN).”
• Extreme risk spillover network: application to financial institutions (2017, methodology): “In the framework of the general Granger causality analysis (Granger 1980), information spillovers can be divided into three types, (i) mean spillovers (Granger 1969), (ii) volatility spillovers (Granger et al. 1986, Cheung and Ng 1996, Hong 2001) and (iii) risk spillovers (Hong et al. 2009).”
• Risk and Return Spillovers Among the G10 Currencies (2016, methodology): “Among the early papers in this literature, Kearney and Patton (2000) and Hong (2001) use GARCH-type models to construct latent measures of volatility.”
• Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets (2009, background): “The difference between Theorem 1 of Hong (2001) and the present case is that in the former, {ut} and {vt} are mutually independent, while in the present case, we should allow for the possibility that vt may depend on {us, s t}.”
• Testing for causality in variance in the presence of breaks (2004, methodology): “These papers estimate parametric models to examine specific formulations for the spillover effects, while Cheung and Ng (1996) and Hong (2001) develop general causality-in-variance tests within this framework.”
• Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014, methodology): “We apply the proposed out-of-sample test for GCD following Hong and Li (2005). As discussed in Section 2, we actually test H0 : c(u,v) = 1.”
• Testing Conditional Independence Via Empirical Likelihood (2014, background): “The volatility spillover between exchange rates (see Hong (2001) and the reference there) is a special case of such nonlinear dependence.”