Spillovers and jumps in global markets: A comparative analysis

Autor(es)

Moura, Rodolfo C. ^[1] ; Laurini, Marcio P. ^[1]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Dept Econ, FEA RP, Ave Bandeirantes 3900, BR-14040905 Ribeirao Preto, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS; v. 26, n. 4, p. 5997-6013, OCT 2021.
• Citações Web of Science: 0

Resumo

We analyse the relation between volatility spillovers and jumps in financial markets. For this, we compared the volatility spillover index proposed by Diebold and Yilmaz,The Economic Journal, 2009,119, 158-171 with a global volatility component, estimated through a multivariate stochastic volatility model with jumps in the mean and in the conditional volatility. This model allows a direct dating of events that alter the global volatility structure, based on a permanent/transitory decomposition in the structure of returns and volatilities and the estimation of market risk measures. We conclude that the multivariate stochastic volatility model complements the information revealed by the spillover index and can be a useful tool in measuring and managing risk in global financial markets. (AU)

• Processo FAPESP: 18/04654-9 - Séries temporais, ondaletas e dados de alta dimensão
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático