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    Browsing by Author John Beirne

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IMF Working Papers
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets :
Marianne Schulze-GhattasNicola Spagnolo
2008
INTERNATIONAL MONETARY FUND

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts dur...

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IMF Working Papers
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets :
Marianne Schulze-GhattasNicola Spagnolo
2008
INTERNATIONAL MONETARY FUND

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts dur...

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IMF Working Papers
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets :
Marianne Schulze-GhattasNicola Spagnolo
2008
INTERNATIONAL MONETARY FUND

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts dur...

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