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Effect of jumps on causation patterns: an international investigation

Javed, Farrukh LU (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.
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author
organization
publishing date
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
ISSN
1757-1189
language
English
LU publication?
yes
id
cf4fd0e2-d8af-4a2f-895e-ee18844e55b0 (old id 3172524)
date added to LUP
2013-01-09 13:41:02
date last changed
2016-04-15 16:19:12
@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},
  keyword      = {Causality,GARCH,Jumps,Spillover,Volatility.},
  language     = {eng},
  publisher    = {Inderscience},
  series       = {International Journal of Computational Economics and Econometrics},
  title        = {Effect of jumps on causation patterns: an international investigation},
  year         = {2012},
}