• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Inequalities in Health and Healthcare
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times

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