A practical multivariate approach to testing volatility spillover

DOI10.1016/j.jedc.2023.104694OpenAlexW4380792843MaRDI QIDQ6094458

Soon Heng Leong, Giovanni Urga

Publication date: 14 September 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104694

zbMATH Keywords

multivariate analysisrisk managementinfinite autoregressionGranger causality in variance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial markets (91G15)

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