Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/127365 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Discussion Paper Series No. 543
Verlag: 
University of Heidelberg, Department of Economics, Heidelberg
Zusammenfassung: 
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset by an accompanying negative variance spillover of sufficient size. Moreover, ignoring a negative variance spillover causes a downward bias in the estimate of the initial impact of the foreign volatility innovation. Applying the concept to portfolios of small and large firms, we find that shocks to small firm returns affect the large firm conditional variance once we allow for (negative) spillovers between the conditional variances themselves.
Schlagwörter: 
Multivariate GARCH
spillover
persistence
small and large firms
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
443.52 kB





Publikationen in EconStor sind urheberrechtlich geschützt.