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Contagion or interdependence? Comparing spillover indices
We propose a novel risk measure that is built on comparing high-frequency time-varying volatility and low-frequency return spillover estimates. This measure permits to identify the markets that are epidemic in their complex interdependence. We conjecture that initially a highly volatile market exper...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8637031/ https://www.ncbi.nlm.nih.gov/pubmed/34873364 http://dx.doi.org/10.1007/s00181-021-02169-2 |