Milunovich, George, Economics, Australian School of … - 2006
markets.In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found innumerous empirical studies … two multivariate GARCHmodels, one that accounts for volatility spillovers and one that does not, and constructoptimal mean …-variance portfolios using these two alternative models. I show thataccounting for volatility spillovers lowers portfolio risk with …