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~isPartOf:"Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics"
~subject:"Estimation"
~subject:"Multivariate GARCH models"
~subject:"multivariate GARCH model"
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Multivariate GARCH models
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causality in volatility
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proxy identification
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spillover index
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value-at-risk
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variance decomposition
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variance spillovers
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
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Structural volatility impulse response analysis
Fengler, Matthias
;
Polivka, Jeannine
-
2022
Persistent link: https://www.econbiz.de/10013399810
Saved in:
2
Measuring spot variance spillovers when (co)variances are time-varying : the case of
multivariate
GARCH
models
Fengler, Matthias
;
Herwartz, Helmut
-
2015
Persistent link: https://www.econbiz.de/10011717132
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