Asymmetric semi-volatility spillover in a nonlinear model of interacting markets

Giovanni Campisi, Silvia Muzzioli

Year of publication:	January 2022
Authors:	Campisi, Giovanni ; Muzzioli, Silvia
Publisher:	[Modena] : nUnimore, Università degli studi di Modena e Reggio Emilia, Dipartimento di economia Marco Biagi
Subject:	spillover effects \| market risk \| asymmetric semi-volatility \| numerical simulations \| Spillover-Effekt \| Spillover effect \| Simulation \| Theorie \| Theory \| Volatilität \| Volatility \| Nichtlineare Regression \| Nonlinear regression \| Schock \| Shock \| ARCH-Modell \| ARCH model

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