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- URN to cite this document:
- urn:nbn:de:bvb:355-epub-280434
- DOI to cite this document:
- 10.5283/epub.28043
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Abstract
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset by an accompanying ...
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