Capturing the spillover effect with multiplicative error models
From MaRDI portal
Recommendations
- Volatility spillover effect: a semiparametric analysis of non-cointegrated process
- A test for volatility spillovers.
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- International market links and volatility transmission
- Adaptive Lasso for vector multiplicative error models
Cites work
- A multiple indicators model for volatility using intra-daily data
- Analysis of time series subject to changes in regime
- Autoregressive conditional heteroskedasticity and changes in regime
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalized autoregressive conditional heteroscedasticity
- Modeling and Forecasting Realized Volatility
- Practical Issues in the Analysis of Univariate GARCH Models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- The Generalized Dynamic Factor Model
- Volatility spillovers, interdependence and comovements: a Markov switching approach
Cited in
(5)- Wavelet-based multi-resolution GARCH model for financial spillover effects
- On classifying the effects of policy announcements on volatility
- Are generalized spillover indices overstating connectedness?
- Volatility spillover effect: a semiparametric analysis of non-cointegrated process
- A practical multivariate approach to testing volatility spillover
This page was built for publication: Capturing the spillover effect with multiplicative error models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2794787)
