Mutual volatility transmission between assets and trading places

Masuhr, Andreas; Trede, Mark

Keywords

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

Cite as

Masuhr, A., & Trede, M. (2023). Mutual volatility transmission between assets and trading places. Dependence Modeling, 11(1).

Details

Publication type
Research article (journal)

Peer reviewed
Yes

Publication status
Published

Year
2023

Journal
Dependence Modeling

Volume
11

Issue
1

ISSN
XXXX-XXXX

DOI
https://doi.org/10.1515/demo-2022-0155