Spillover effects and conditional dependence |
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Authors: | Thierry An ,Chiraz Labidi |
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Affiliation: | aIESEG School of Management, 3 rue de la Digue, 59800 Lille, France;bIHEC Carthage, ERECA, 2016, Carthage Présidence, Tunisia |
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Abstract: | A better understanding of cross-market linkages and interactions would help to better manage international financial exposure. So far, no attempt has been made to investigate the degree of price and volatility spillovers in a non-Gaussian conditional framework. We present a new model for these transmission mechanisms that relies on asymmetric-t marginal distributions and a copula function to characterize the conditional dependence. Rendering the dependence parameter time varying, we investigate how the dependence structure is affected by stock return innovations. |
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Keywords: | Conditional dependence Spillovers Nonnormal multivariate distributions |
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