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Measuring Persistence in Volatility Spillovers

Conrad, Christian and Weber, Enzo (2013) Measuring Persistence in Volatility Spillovers. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 473, Working Paper.

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Date of publication of this fulltext: 12 Apr 2013 09:58

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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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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:11 April 2013
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:28043RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
C51Journal of Economics Literature Classification
C52Journal of Economics Literature Classification
C53Journal of Economics Literature Classification
G10Journal of Economics Literature Classification
Keywords:Multivariate GARCH, spillover, persistence, small and large firms
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Partially
Item ID:28043
Owner only: item control page

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