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- W2357157051 abstract "It is very important to mensurate the volatility spillover for the dynamic investment portfolio and risk management.The known literature have showed that describing the volatility of financial market with SV model is better than GARCH models.There are few literatures to study volatility spillover of the financial market with SV model,and the literature on multivariate SV of studying volatility spillover between the multi-financial markets was not adverted.In order to analyze the volatility spillover between the multi-financial markets at the same time,the authors set up a new VS-SV model judging volatility spillover between the multi-financial markets and conducted the empirical analysis on the basis of multivariate SV model." @default.
- W2357157051 created "2016-06-24" @default.
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- W2357157051 date "2007-01-01" @default.
- W2357157051 modified "2023-09-25" @default.
- W2357157051 title "Volatility Spillover Analysis and Empirical Study on the Financial Market Based on VS-MSV Model" @default.
- W2357157051 hasPublicationYear "2007" @default.
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