Shigemoto, Hideto; Morimoto, Takayuki - In: Cogent economics & finance 11 (2023) 2, pp. 1-13
It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility … spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility … contagion across various industrial sectors, investigates portfolio strategies based on the volatility spillovers, and aims to …