On the usefulness of dynamically spilled risk: An optimal portfolio allocation based on cross-sector information contagion

AbstractIt is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international market...

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Bibliographic Details
Main Authors: Hideto Shigemoto, Takayuki Morimoto
Format: Article
Language:English
Published: Taylor & Francis Group 2023-06-01
Series:Cogent Economics & Finance
Subjects:
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2023.2243200