Mutual volatility transmission between assets and trading places

DOI10.1515/DEMO-2022-0155OpenAlexW4387719013MaRDI QIDQ6184348

Andreas Masuhr, Mark Trede

Publication date: 24 January 2024

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0155

zbMATH Keywords

intra-daycopula-GARCH modelsinternational volatility spilloversvolatility impulse responses

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Copula-based multivariate GARCH model with uncorrelated dependent errors
• A coupled component DCS-EGARCH model for intraday and overnight volatility
• Tailored randomized block MCMC methods with application to DSGE models

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