Bonato, Mateo; Caporin, Massimiliano; Ranaldo, Angelo - School of Finance, Universität St. Gallen - 2012
We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...