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The Independence of Indexed Volatilities
[chapter]
2019
Linear and Non-Linear Financial Econometrics -Theory and Practice [Working Title]
Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe. This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real estate indices of emerging
doi:10.5772/intechopen.90240
fatcat:yqdbfeb6ebfy7jv3agncmp5k4e