Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index
In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean and the conditional variance between the Dow Jones stock index and some emerging bond indices. We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission. We examined this tra...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Danubius University
2016-04-01
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| Series: | Acta Universitatis Danubius: Oeconomica |
| Subjects: | |
| Online Access: | http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3188/3241 |