01764cas a2200253 a 4500 AALejournalIMF001076 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451857566 1018-5941 BD-DhAAL BD-DhAAL Deb, Parha. Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework / Parha Deb, Salim Darbar. Washington, D.C. : International Monetary Fund, 1999. 1 online resource (25 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987. Mode of access: Internet Darbar, Salim. IMF Working Papers; Working Paper ; No. 1999/158 Full text available on IMF http://elibrary.imf.org/view/journals/001/1999/158/001.1999.issue-158-en.xml IMF e-Library