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Published in:
2009 | OriginalPaper | Chapter
Country Risk Volatility Spillovers of Emerging Oil Economies: An Application to Russia and Kazakhstan
Authors : Xiaolei Sun, Wan He, Jianping Li
Published in: Cutting-Edge Research Topics on Multiple Criteria Decision Making
Publisher: Springer Berlin Heidelberg
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The emerging oil economies (EOEs) of geographical proximity, are usually impacted by some common risk factors which may make the interaction of their country risk closely related. This paper focuses on the interaction of country risk between EOEs by investigating the volatility spillovers of country risk. Taking Russia and Kazakhstan for example, a multivariate conditional volatility model is used to capture the dynamic spillovers of country risk. Empirical results show that there are significant bidirectional spillover effects with the asymmetrical volatility between Russia and Kazakhstan.