Showing 1 - 10 of 21
Persistent link: https://www.econbiz.de/10003698909
Persistent link: https://www.econbiz.de/10008664052
Persistent link: https://www.econbiz.de/10008695598
Persistent link: https://www.econbiz.de/10009767006
Persistent link: https://www.econbiz.de/10009619566
Persistent link: https://www.econbiz.de/10009412621
Persistent link: https://www.econbiz.de/10010371985
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...
Persistent link: https://www.econbiz.de/10010407672
Persistent link: https://www.econbiz.de/10009562985
Persistent link: https://www.econbiz.de/10003397550