Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018
Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)’s definition of the co-volatility … spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility … in another asset, and extend the effects of the co-volatility spillovers of shocks to the effects of the co-volatility …