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  • Search: subject:"Variance spillovers"
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Year of publication
Subject
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ARCH model 1 ARCH-Modell 1 Analysis of variance 1 Dynamic correlations 1 Estimation 1 Estimation theory 1 Financial market contagion 1 Market linkages 1 Multivariate Analyse 1 Multivariate GARCH 1 Multivariate analysis 1 Risikomaß 1 Risk measure 1 Rolling correlations 1 Schätztheorie 1 Schätzung 1 Spillover effect 1 Spillover-Effekt 1 Time series analysis 1 Transformed correlations 1 Variance spillovers 1 Varianzanalyse 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 spillover index 1 value-at-risk 1 variance decomposition 1 variance spillovers 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Billio, Monica 1 Caporin, Massimiliano 1 Fengler, Matthias 1 Herwartz, Helmut 1
Institution
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Dipartimento di Economia, Università Ca' Foscari Venezia 1
Published in...
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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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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Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
Billio, Monica; Caporin, Massimiliano - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007
We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...
Persistent link: https://www.econbiz.de/10005057154
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