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13-009/III - Volatility Spillovers from the US to Australia and China across the GFC


  • Authors
    David E. Allen, Edith Cowan University; Michael McAleer, Econometric Institute, Erasmus University Rotterdam, Complutense University of Madrid, and Kyoto University; R.J. Powell, Edith Cowan University; A.K. Singh, Edith Cowan University
  • Publication date
    January 8, 2013
  • Keywords
    Volatility spillovers, Markov-switching GARCH, Cholesky-GARCH, Time-varying correlations
  • JEL
    C22, C32, G11, G15