Huang, Shian-Chang - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2529-2539
This study proposes a wavelet-based multi-resolution BEKK-GARCH model to investigate spillover effects across financial markets. Compared with traditional multivariate GARCH analysis, the proposed model can identify or decompose cross-market spillovers on multiple resolutions. Taking two highly...