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