Publications & Presentations

Title

Do different time-horizons in volatility have any significance for the emerging markets?

Document Type

Article

Publication Date

8-2016

Abstract

This paper investigates the influence of U.S. stock market over emerging markets in terms of volatility and volatility of volatility (VOV) at different time horizons. It finds that spillover from the U.S. to emerging markets exists for VOV in a longer term.

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