Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
研究了八个东亚国家股市波动在亚洲货币危机前后的相互关联，发现香港的波动冲击会放大并传播至整个区域，加剧危机严重性。
We model the interrelations of equity market volatility in eight East Asian countries before, during, and after the Asian currency crisis. Using a new class of asymmetric volatility multiplicative error models based on the daily range, we find that dynamic propagation of volatility shocks occurs through a network of interdependencies, and shocks originating in Hong Kong may be amplified in their transmission throughout the system, posing greater risks to the region than shocks originating elsewhere. Although this partly explains the severity of the currency crisis, we also find evidence that parameters shifted, making the system more unstable during the crisis.