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