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Persistent link: https://www.econbiz.de/10009467208
We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers, locally in time and conditionally on time-t information. Key to our approach is the vector moving average representation of the half-vectorized `squared' multivariate GARCH process...
Persistent link: https://www.econbiz.de/10015252325