标题：ESTIMATING VOLATILITY SPILLOVERS, DYNAMIC CAUSAL LINKAGES AND INTERNATIONAL CONTAGION PATTERNS BETWEEN DEVELOPED STOCK MARKETS : AN EMPIRICAL CASE STUDY FOR USA, CANADA, FRANCE AND UK
期刊名称：Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
印刷版ISSN：1844-7007
出版年度：2019
期号：3
语种：English
出版社：Academica Brâncuşi
摘要：This research paper examines in a comparative manner the long-term behavior of certain developed economies, such as USA, Canada, France and UK. The applied financial econometrics approach includes relevant research methods such as descriptive statistics, Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey-Fuller stationary test, BDS test, Granger causality test/Vector AutoRegression (VAR) model and GARCH (1, 1) model. The empirical results provide additional evidence on volatility spillovers, dynamic causal linkages and international contagion patterns between developed stock markets considering international portofolio diversification benefits. The sample financial data series are based on daily returns of selected stock markets major indices, ie during the period from January 2000 until June 2018
