Auflistung nach Autor "Frattarolo, Lorenzo"
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Networks in Risk Spillovers: A Multivariate GARCH Perspective
Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...