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Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market

✍ Scribed by José Luis Miralles Marcelo; José Luis Miralles Quirós; María del Mar Miralles Quirós

Book ID
116575250
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
169 KB
Volume
18
Category
Article
ISSN
1042-4431

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## Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices si