VOLATILITY SPILLOVER BETWEEN FINANCIAL MARKETS: LITERATURE REVIEW
FİNANSAL PİYASALAR ARASINDAKİ OYNAKLIK YAYILIMI: LİTERATÜR ARAŞTIRMASI

Author : Nurdan DEĞİRMENCİ
Number of pages : 161-179

Abstract

An issue discussed in the context of the volatility spillover between the international financial markets interact finance literature. As a result of the volatility spillover in stock prices and returns on securities it can be seen in the markets affected by this process. Decisions of portfolio investors as a result of this interaction may change. For this reason, many studies have been carried out to determine the volatility spillover. The aim of this study is to present empirical literature on volatility spillover and to search the literature on the methods used to determine the volatility spread between international stock markets.

Keywords

Volatility Spillover, GARCH, EGARCH, Asymmetric Effect

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