Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018
-volatility in another asset, and extend the effects of the co-volatility spillovers of shocks to the effects of the co-volatility … ETF co-volatility with wind ETF. Interestingly, there are significant volatility spillovers of squared shocks for the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)’s definition of the co-volatility …