Asymmetric semi-volatility spillover in a nonlinear model of interacting markets
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Data di Pubblicazione:
2022
Citazione:
Campisi, G. e S., Muzzioli. "Asymmetric semi-volatility spillover in a nonlinear model of interacting markets" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261314
Abstract:
This paper develops an heterogeneous agents model with fundamentalists and chartists trading in two different speculative markets. It examines whether investors’ behaviour is related to the volatility and its dynamics. We find that investors’ heterogeneity in price trends and trading strategies can significantly explain asymmetry in semi-volatility transmission.
Tipologia CRIS:
Working paper
Keywords:
spillover effects; market risk; asymmetric semi-volatility; numerical simulations
Elenco autori:
Campisi, G.; Muzzioli, S.
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