Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in … heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …