TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
AU  - Powell, R. J.
AU  - Singh, A. K.
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49130
AB  - This paper features an analysis of volatility spillover eects from the US market, represented bythe S&P500 index to the Australian capital market as represented by the Australian S&P200 fora period running from 12th September 2002 to 9th September...
LA  - eng
KW  - Volatility spillovers
KW  - Markov-switching GARCH
KW  - Cholesky-GARCH
KW  - Time-varying correlations.
TI  - Volatility Spillovers from the US to Australia and China across the GFC
TY  - technical report
VL  - 2012
ER  -