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...

Existing multivariate GARCH models either impose strong restrictions on the parameters or do not guarantee a well-defined (positive definite) covariance matrix. I discuss all main Multivariate GARCH models and focus on the BEKK model for which it is shown that the covariance and correlation is...

Safe assets play an important economic role as a store of value. Remarkably, gold is generally not considered a safe asset despite the fact that both gold and government bonds are considered stores of value and both are risky in the short-run as highlighted recently by the Silicon Valley Bank...