SSRNEconometrics & Forecasting
MGARCH Model
A new study using a multivariate GARCH model identifies shocks and volatility spillovers in speculative return systems, using SP 500 returns, Treasury yields, and the U.S. Dollar Index.
Featured in No. 71 on 23 Oct 2024 · 6 days after release
- Released
- 17 Oct 2024
- First featured
- No. 71 · 23 Oct 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 7
- Identifier
- SSRN 4990401
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).