A practical multivariate approach to testing volatility spillover (Q6094458)
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scientific article; zbMATH DE number 7737404
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A practical multivariate approach to testing volatility spillover |
scientific article; zbMATH DE number 7737404 |
Statements
A practical multivariate approach to testing volatility spillover (English)
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14 September 2023
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Granger causality in variance
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infinite autoregression
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multivariate analysis
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risk management
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