A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
股票收益与波动率国际传导的多变量 GARCH 模型：美国与加拿大
This study examines the short-run dynamics of returns and volatility for stocks traded on the New York and Toronto stock exchanges. The main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross-market dynamics in volatility are modeled. Also, much weaker cross-market dynamics in returns and volatility prevail during later subperiods and…