Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
收藏NBER2008-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w13811
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资源简介：
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including
提供机构：
美国国家经济研究局
创建时间：
2008-02-01
