SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A variance spillover analysis without covariances: what do we miss? · Study

ArticleShelves

ArticleA variance spillover analysis without covariances: what do we miss?

Matthias Reginald Fengler2014

Article2014

A variance spillover analysis without covariances: what do we miss?

Matthias Reginald Fengler · Katja I. M. Gisler

75 citations·0/0 files stored·Alexandria (UniSG) (University of St.Gallen)

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 75 citations exist upstream.

References

2002Dynamic Conditional Correlation 1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 1988A Capital Asset Pricing Model with Time-Varying Covariances

Cited by

2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies 2023Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks 2018The dynamics of volatility connectedness in international real estate investment trusts 2023Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management 2018Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Financial Risk Measurement for Financial Risk Managementchapter · 15 shared references 2012Financial Risk Measurement for Financial Risk Managementreport · 11 shared references 2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?article · 10 shared references 2021From dotcom to Covid-19: A convergence analysis of Islamic investmentsarticle · 10 shared references 2021Are there spillovers among China's pilots for carbon emission allowances trading?article · 9 shared references 2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?article · 9 shared references

Details

Year2014

Typearticle

Published2014-05-12

VenueAlexandria (UniSG) (University of St.Gallen)

Languageen

Citations75

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jimonfin.2014.11.006

openalex_workW3124623274

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2019Interindustry volatility spillover effects in China’s stock market

2020Asymmetric volatility connectedness among main international stock markets: A high frequency analysis

2016International sign predictability of stock returns: The role of the United States

landingopen