Networks in risk spillovers: a multivariate GARCH perspective
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- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017.
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More about this item
Keywordsspatial GARCH; network; risk spillover; financial spillover;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-03-23 (All new papers)
- NEP-EEC-2016-03-23 (European Economics)
- NEP-NET-2016-03-23 (Network Economics)
- NEP-RMG-2016-03-23 (Risk Management)
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