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On the usefulness of dynamically spilled risk : an optimal portfolio allocation based on cross-sector information contagion

Shigemoto, Hideto; Morimoto, Takayuki - In: Cogent economics & finance 11 (2023) 2, pp. 1-13

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...

Persistent link: https://www.econbiz.de/10014503074