Additional Metadata
Keywords Cholesky-GARCH, Markov-switching GARCH, time-varying correlations, volatility spillovers
Publisher Tinbergen Institute
Persistent URL hdl.handle.net/1765/38232
Series Tinbergen Institute Discussion Paper Series
Journal Discussion paper / Tinbergen Institute
Citation
Allen, D.E, McAleer, M.J, Powell, R.J, & Singh, A.K. (2013). Volatility Spillovers from the US to Australia and China across the GFC (No. TI 13-009/III). Discussion paper / Tinbergen Institute (pp. 1–17). Tinbergen Institute. Retrieved from http://hdl.handle.net/1765/38232