Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Matthias R. Fengler, Helmut Herwartz
| Year of publication: |
Jul 2015
|
|---|---|
| Authors: | Fengler, Matthias ; Herwartz, Helmut |
| Publisher: |
St. Gallen : School of Economics and Political Science, Department of Economics, University of St.Gallen |
| Subject: | Multivariate GARCH | spillover index | value-at-risk | variance spillovers | variance decomposition | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory |
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