Mutual volatility transmission between assets and trading places

Masuhr, Andreas; Trede, Mark

Research article (journal) | Peer reviewed

Details about the publication

Journal: Dependence Modeling

Volume: 11

Issue: 1

Article number: 20220155

Status: Published

Release year: 2023

Keywords: international volatility spillovers; copula-GARCH models; intra-day; volatility impulse responses

Professur für VWL, Ökonometrie/Wirtschaftsstatistik (Prof. Trede)