This paper proposes a simple framework to distinguish lagged effects (spillovers) from contemporaneous effects and to estimate their relative importance. We use an eclectic sample of assets from five different asset classes and find that spillovers have low explanatory power of returns and...

There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...

There is a large and growing literature that studies return and volatility spillovers but there is no study that assesses the importance of these spillovers. This paper proposes a novel econometric framework to estimate the importance of spillovers in absolute and relative terms. We define...

This paper demonstrates that spillovers are fully embedded in estimates of expected returns, variances and correlations and that identification of spillovers is not necessary for asset allocation. Simulations of typical empirical spillover settings and empirical estimations further show that...

This paper describes a novel and simple way to jointly estimate spillovers and correlations. The proposed framework is based on an expanded return vector including lagged returns. The correlation matrix of this expanded return vector provides the (contemporaneous) correlation and (lagged...