Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of International Money and Finance 53 (2015) C, pp. 95-114
Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant...