Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/68003
標題: Using multivariate stochastic volatility models to investigate the interactions among NASDAQ and major Asian stock indices
作者: Chen, S.L.
Huang, S.C.
Lin, Y.M.
關鍵字: likelihood
arch
期刊/報告no:: Applied Economics Letters, Volume 14, Issue 2, Page(s) 127-133.
摘要: In this article, we employ a multivariate stochastic volatility (MSV) model to investigate the return and volatility interactions among three major Asian stock indices and the NASDAQ index. Using Laplace approximation to simplify the calculation of the likelihood function of the MSV model, we estimate the complex dynamics among these indices relatively quickly. A interesting phenomenon of our empirical results is that all the market indices examined exhibit significant leverage effects, especially the TWSI ( Taiwan) index. Moreover, the return correlations are large in links between these Asian markets, but small in links between every Asian index and the NASDAQ index. However, the volatility correlations display a totally different pattern that is large in links of NASDAQ-TWSI, NASDAQ-KOSPI ( South Korea), but small among links between these Asian indices.
URI: http://hdl.handle.net/11455/68003
ISSN: 1350-4851
文章連結: http://dx.doi.org/10.1080/1350500426186
Appears in Collections:期刊論文

文件中的檔案:

取得全文請前往華藝線上圖書館



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.