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Asymmetric volatility spillovers: revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance
- 1.0421884 - NHU-C 2014 US eng V - Research Report
Baruník, J. - Kočenda, Evžen - Vácha, L.
Asymmetric volatility spillovers: revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance.
Ithaca, N.Y: Cornell University, 2013. 11 s. Papers from arXiv.org, 1308.1221.
Institutional support: PRVOUK-P23
Keywords : volatility * spillovers * semivariance
Subject RIV: AH - Economics
http://arxiv.org/pdf/1308.1221v1.pdf
Permanent Link: http://hdl.handle.net/11104/0228137
Number of the records: 1