Spillovers and jumps in global markets: a comparative analysis
We analyze the relation between volatility spillovers and jumps in financial markets. For this, we compared the volatility spillover index proposed by Diebold and Yilmaz (2009) with a global volatility component, estimated through a multivariate stochastic volatility model with jumps in the mean and...
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| Format: | Others |
| Language: | en |
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Biblioteca Digitais de Teses e Dissertações da USP
2018
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| Online Access: | http://www.teses.usp.br/teses/disponiveis/96/96131/tde-02082018-160351/ |