Advances in Risk Management

(Michael S) #1
326 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN

Ramchand, L. and Susmel, R. (1998) “Volatility and Cross Correlation Across Major Stock
Markets”,Journal of Empirical Finance, 5(4): 397–416.
Rigobon, R. (2003) “On the Measurement of the International Propagation of Shocks: Is
the Transmission Stable?”,Journal of International Economics, 61(2): 261–83.
Sims, C.A. (1986) “Are Forecasting Models Usable for Policy Analysis?”,Federal Reserve
Bank of Minneapolis Quarterly Review, 10(1): 2–16.
Susmel, R. and Engle, R.F. (1994) “Hourly Volatility Spillovers Between International
Equity Markets”,Journal of International Money and Finance, 13(1): 3–25.
Wongswan, J. (2003) “Transmission of Information Across International Equity Markets”,
Federal Reserve – International Finance Discussion Papers, No. 759.

Free download pdf