Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators.
(2016)
Journal Article
YAROVAYA, L., BRZESZCZYNSKI, J. and LAU, C.K.M. 2016. Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators. Finance research letters [online], 17, pages 158-166. Available from: https://doi.org/10.1016/j.frl.2016.03.005
This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility... Read More about Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators..