Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2012
Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...
