Measuring Spot Variance Spillovers when (Co)variances are Time‐varying – The Case of Multivariate GARCH Models

E-ISSN： 1468-0084|80|1|135-159

ISSN： 0305-9049

Source： OXFORD BULLETIN OF ECONOMICS & STATISTICS, Vol.80, Iss.1, 2018-02, pp. : 135-159

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

By Acosta-Gonzalez Eduardo Andrada-Felix Julian Fernandez-Rodriguez Fernando

Applied Economics, Vol. 41, Iss. 26, 2009-12 ,pp. : 3437-3445

Routledge Ltd

Access to resources Recommend Favorite

Variance (Non) Causality in Multivariate GARCH

By Caporin Massimiliano

Econometric Reviews, Vol. 26, Iss. 1, 2007-01 ,pp. : 1-24

Taylor & Francis Ltd

Access to resources Recommend Favorite

Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis

Applied Economics, Vol. 47, Iss. 27, 2015-06 ,pp. : 2844-2859

Routledge Ltd

Access to resources Recommend Favorite

Global macroeconomic shocks, time-varying covariances and tests of the international CAPM

By Clare Andrew O'Brien Raymond Smith Peter N. Thomas Stephen

Applied Economics Letters, Vol. 3, Iss. 2, 1996-02 ,pp. : 109-113

Routledge Ltd

Access to resources Recommend Favorite

A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios

By Lee Hsiang-Tai Yoder Jonathan K.

Applied Economics, Vol. 39, Iss. 10, 2007-06 ,pp. : 1253-1265

Routledge Ltd

Access to resources Recommend Favorite