Intelligent Data Engineering and Automated Learning - IDEAL 2005 | Zendy

Marcus Gallagher | Zendy; James Hogan | Zendy; Frédéric Maire | Zendy

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Intelligent Data Engineering and Automated Learning - IDEAL 2005

Author(s) -

Marcus Gallagher,

James Hogan,

Frédéric Maire

Publication year - 2005

Publication title -

lecture notes in computer science

Language(s) - English

Resource type - Book series

SCImago Journal Rank - 0.249

H-Index - 400

eISSN - 1611-3349

pISSN - 0302-9743

DOI - 10.1007/b137888

Subject(s) - computer science , ideal (ethics) , artificial intelligence , software engineering , epistemology , philosophy

This paper investigates the cross-market informational dependence between these assets under disparate interest rate conditions of the U.S and Australia. With conditional variance as a proxy for volatility, we use the BEKK – a matricular decomposition of the bivariate GARCH (1,1) model to examine the cross-market contemporaneous effect of information arrival. Applying the model to the stock and bond indices of both countries, we find evidence of volatility spillover, thereby supporting the notion of informational dependence between each market

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