| |
 |
|
| |
|
|
Volatility transmission models: a survey
Pilar Soriano Felipe and Francisco Climent Diranzo |
|
This study reviews the literature on volatility transmission in order to determine what we have learnt about the different methodologies applied. In particular, GARCH, regime switching and stochastic volatility models are analysed. In addition, this study covers several concrete aspects such as their scope of application, the overlapping problem, the concept of efficiency and asymmetry modelling. Finally, emerging topics and unanswered questions are identified, serving as an agenda for future research.
|
|
| Copyright
1998 - 2012 - Asociación Española de Finanzas (AEFIN).
All rights reserved
e-mail: aefin@aefin.es
and secretaria@aefin.es
c/ Rosario Pino, 8, 10º-A
28020 Madrid
Tlf. and fax:
+34 91 3691483 |
|
