Effect of jumps on causation patterns: an international investigation
(2012) In International Journal of Computational Economics and Econometrics- Abstract
- In this paper, we discuss the effects of jumps in data on causation pattern both in mean and variance. Our data consist of daily stock returns of four countries: the US, the UK, Japan and Sweden and used for empirical investigation. A test proposed by Cheung and Ng (1996) and Hong (2001) is used for testing volatility spillover. We find significant evidence of jump spillover. It is shown that the presence of jump affects the transmission of information between two sets of series. Moreover, it is found that the choice of an appropriate model is essential for understanding the real pattern of transmission.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/3172524
- author
- Javed, Farrukh LU
- organization
- publishing date
- 2012
- type
- Contribution to specialist publication or newspaper
- publication status
- in press
- subject
- keywords
- Causality, GARCH, Jumps, Spillover, Volatility.
- categories
- Popular Science
- in
- International Journal of Computational Economics and Econometrics
- publisher
- Inderscience Publishers
- ISSN
- 1757-1189
- language
- English
- LU publication?
- yes
- id
- cf4fd0e2-d8af-4a2f-895e-ee18844e55b0 (old id 3172524)
- date added to LUP
- 2016-04-01 10:37:11
- date last changed
- 2021-02-17 12:46:48
@misc{cf4fd0e2-d8af-4a2f-895e-ee18844e55b0, abstract = {{In this paper, we discuss the effects of jumps in data on causation pattern both in mean and variance. Our data consist of daily stock returns of four countries: the US, the UK, Japan and Sweden and used for empirical investigation. A test proposed by Cheung and Ng (1996) and Hong (2001) is used for testing volatility spillover. We find significant evidence of jump spillover. It is shown that the presence of jump affects the transmission of information between two sets of series. Moreover, it is found that the choice of an appropriate model is essential for understanding the real pattern of transmission.}}, author = {{Javed, Farrukh}}, issn = {{1757-1189}}, keywords = {{Causality; GARCH; Jumps; Spillover; Volatility.}}, language = {{eng}}, publisher = {{Inderscience Publishers}}, series = {{International Journal of Computational Economics and Econometrics}}, title = {{Effect of jumps on causation patterns: an international investigation}}, year = {{2012}}, }