Work

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

Year: 2014

Type: article

Source: Alexandria (UniSG) (University of St.Gallen)

DOI: 10.1016/j.jimonfin.2014.11.006

Authors: Fengler, Matthias, Gisler, Katja

Institution: University of St.Gallen

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

Award: Analysis and models of cross asset dependency structures in high-frequency data

OpenAlex ID: W3124623274

FWCI: 11.59

Cites: 57

Cited by: 75

Related to: 10