Matches in SemOpenAlex for { <https://semopenalex.org/work/W2105301684> ?p ?o ?g. }
- W2105301684 abstract "This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors or GARCH-type feedback. The tests are couched in a general conditional heteroskedasticity framework with idiosyncratic shocks that are only required to have a finite variance if they are independent. We negligibly trim test equations, or components of the equations, and construct heavy tail robust score and portmanteau statistics. We develop the tail-trimmed sample correlation coefficient for robust inference, and prove that its Gaussian limit under the null hypothesis of no spillover has the same standardization irrespective of tail thickness. Further, if spillover occurs within a specified horizon, our test statistics obtain power of one asymptotically. A Monte Carlo study shows our tests provide significant improvements over extant GARCH-based tests of spillover, and we apply the tests to financial returns data." @default.
- W2105301684 created "2016-06-24" @default.
- W2105301684 creator A5052887719 @default.
- W2105301684 creator A5059495103 @default.
- W2105301684 date "2012-01-01" @default.
- W2105301684 modified "2023-09-25" @default.
- W2105301684 title "Robust Score and Portmanteau Tests of Volatility Spillover" @default.
- W2105301684 cites W1498464051 @default.
- W2105301684 cites W1507259579 @default.
- W2105301684 cites W1513299688 @default.
- W2105301684 cites W1543257660 @default.
- W2105301684 cites W1594572042 @default.
- W2105301684 cites W1689645146 @default.
- W2105301684 cites W1879215575 @default.
- W2105301684 cites W1930100644 @default.
- W2105301684 cites W1968407172 @default.
- W2105301684 cites W1971905795 @default.
- W2105301684 cites W1973179437 @default.
- W2105301684 cites W1977202392 @default.
- W2105301684 cites W1980620433 @default.
- W2105301684 cites W1980810441 @default.
- W2105301684 cites W1981655853 @default.
- W2105301684 cites W1986788466 @default.
- W2105301684 cites W1989824032 @default.
- W2105301684 cites W1998067108 @default.
- W2105301684 cites W1999369685 @default.
- W2105301684 cites W1999538266 @default.
- W2105301684 cites W2002238002 @default.
- W2105301684 cites W2009639949 @default.
- W2105301684 cites W2012712694 @default.
- W2105301684 cites W2015110411 @default.
- W2105301684 cites W2016287239 @default.
- W2105301684 cites W2026239436 @default.
- W2105301684 cites W2032562109 @default.
- W2105301684 cites W2033847040 @default.
- W2105301684 cites W2034631038 @default.
- W2105301684 cites W2044265740 @default.
- W2105301684 cites W2045634044 @default.
- W2105301684 cites W2045790273 @default.
- W2105301684 cites W2046325355 @default.
- W2105301684 cites W2048649579 @default.
- W2105301684 cites W2051930953 @default.
- W2105301684 cites W2056075622 @default.
- W2105301684 cites W2057805141 @default.
- W2105301684 cites W2061160212 @default.
- W2105301684 cites W2061363519 @default.
- W2105301684 cites W2062843205 @default.
- W2105301684 cites W2065180335 @default.
- W2105301684 cites W2066580768 @default.
- W2105301684 cites W2084637236 @default.
- W2105301684 cites W2095434538 @default.
- W2105301684 cites W2098215355 @default.
- W2105301684 cites W2101182724 @default.
- W2105301684 cites W2103157190 @default.
- W2105301684 cites W2109246257 @default.
- W2105301684 cites W2111193889 @default.
- W2105301684 cites W2115899065 @default.
- W2105301684 cites W2125472587 @default.
- W2105301684 cites W2128714331 @default.
- W2105301684 cites W2130968628 @default.
- W2105301684 cites W2132874737 @default.
- W2105301684 cites W2135930496 @default.
- W2105301684 cites W2141702026 @default.
- W2105301684 cites W2142306316 @default.
- W2105301684 cites W2146419299 @default.
- W2105301684 cites W2157992186 @default.
- W2105301684 cites W2159732980 @default.
- W2105301684 cites W2163939089 @default.
- W2105301684 cites W2165927094 @default.
- W2105301684 cites W2201210089 @default.
- W2105301684 cites W2330622735 @default.
- W2105301684 cites W2423293082 @default.
- W2105301684 cites W2479970543 @default.
- W2105301684 cites W3023857478 @default.
- W2105301684 cites W3100325525 @default.
- W2105301684 cites W3100582116 @default.
- W2105301684 cites W3121857944 @default.
- W2105301684 cites W3122088046 @default.
- W2105301684 cites W3122572031 @default.
- W2105301684 cites W3123237678 @default.
- W2105301684 cites W3123355694 @default.
- W2105301684 cites W3124139718 @default.
- W2105301684 cites W3124242984 @default.
- W2105301684 cites W3124340934 @default.
- W2105301684 cites W3125160259 @default.
- W2105301684 cites W3149559051 @default.
- W2105301684 doi "https://doi.org/10.2139/ssrn.2003387" @default.
- W2105301684 hasPublicationYear "2012" @default.
- W2105301684 type Work @default.
- W2105301684 sameAs 2105301684 @default.
- W2105301684 citedByCount "3" @default.
- W2105301684 countsByYear W21053016842012 @default.
- W2105301684 countsByYear W21053016842013 @default.
- W2105301684 crossrefType "journal-article" @default.
- W2105301684 hasAuthorship W2105301684A5052887719 @default.
- W2105301684 hasAuthorship W2105301684A5059495103 @default.
- W2105301684 hasConcept C105795698 @default.
- W2105301684 hasConcept C106159729 @default.
- W2105301684 hasConcept C149782125 @default.
- W2105301684 hasConcept C162324750 @default.