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Linkages Among Asset Markets in the United States

Tests in a Bivariate GARCH Framework

By: Mr.Salim M. Darbar,Parha Deb

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Linkages Among Asset Markets in the United States

Tests in a Bivariate GARCH Framework

By: Mr.Salim M. Darbar,Parha Deb

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.

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26

Publisher

International Monetary Fund

Published Date

ISBN 10

145185756X

ISBN 13

9781451857566

Linkages Among Asset Markets in the United States

Tests in a Bivariate GARCH Framework

By: Mr.Salim M. Darbar,Parha Deb

Write a review Read reviews Take a Quiz Solve Book Puzzle

Linkages Among Asset Markets in the United States

Tests in a Bivariate GARCH Framework

By: Mr.Salim M. Darbar,Parha Deb

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.

Average ratings

N/A

5

0%

4

0%

3

0%

2

0%

1

0%

Write a review

Solve jigsaw puzzle

Age

Page Count

26

Publisher

International Monetary Fund

Published Date

ISBN 10

145185756X

ISBN 13

9781451857566

Book's by Parha Deb

Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States

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