Nalin Prasad

University of Sydney Business School

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

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Scholarly Papers (1)

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Time Varying Volatility Indexes and Their Determinants: Evidence from Developed and Emerging Stock Markets

Number of pages: 43 Posted: 16 Sep 2014 Last Revised: 26 Sep 2014
Nalin Prasad, Andrew R. Grant and Suk-Joong Kim
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and The University of Sydney Business School
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Abstract:

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Stock market spillovers, Realized Volatility, Spillover index, VAR, Volatility transmission