FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2890896665> ?p ?o ?g. }

• W2890896665 endingPage "6013" @default.
• W2890896665 startingPage "5997" @default.
• W2890896665 abstract "Abstract We analyse the relation between volatility spillovers and jumps in financial markets. For this, we compared the volatility spillover index proposed by Diebold and Yilmaz, The Economic Journal , 2009, 119 , 158–171 with a global volatility component, estimated through a multivariate stochastic volatility model with jumps in the mean and in the conditional volatility. This model allows a direct dating of events that alter the global volatility structure, based on a permanent/transitory decomposition in the structure of returns and volatilities and the estimation of market risk measures. We conclude that the multivariate stochastic volatility model complements the information revealed by the spillover index and can be a useful tool in measuring and managing risk in global financial markets." @default.
• W2890896665 created "2018-09-27" @default.
• W2890896665 creator A5001192334 @default.
• W2890896665 creator A5061173580 @default.
• W2890896665 date "2020-08-10" @default.
• W2890896665 modified "2023-10-18" @default.
• W2890896665 title "Spillovers and jumps in global markets: A comparative analysis" @default.
• W2890896665 cites W1565513967 @default.
• W2890896665 cites W1567579011 @default.
• W2890896665 cites W1977970167 @default.
• W2890896665 cites W2007301193 @default.
• W2890896665 cites W2074812030 @default.
• W2890896665 cites W2075472778 @default.
• W2890896665 cites W2083685602 @default.
• W2890896665 cites W2104456410 @default.
• W2890896665 cites W2108306139 @default.
• W2890896665 cites W2114496006 @default.
• W2890896665 cites W2140454830 @default.
• W2890896665 cites W2155187653 @default.
• W2890896665 cites W2207240567 @default.
• W2890896665 cites W2601671906 @default.
• W2890896665 cites W2911266508 @default.
• W2890896665 cites W3098040842 @default.
• W2890896665 cites W3122111926 @default.
• W2890896665 cites W3122163201 @default.
• W2890896665 cites W3122186884 @default.
• W2890896665 cites W3122296838 @default.
• W2890896665 cites W3122719920 @default.
• W2890896665 cites W3123933399 @default.
• W2890896665 cites W3124699228 @default.
• W2890896665 cites W3124713790 @default.
• W2890896665 cites W3125666236 @default.
• W2890896665 cites W3126146309 @default.
• W2890896665 cites W3200232505 @default.
• W2890896665 doi "https://doi.org/10.1002/ijfe.2105" @default.
• W2890896665 hasPublicationYear "2020" @default.
• W2890896665 type Work @default.
• W2890896665 sameAs 2890896665 @default.
• W2890896665 citedByCount "0" @default.
• W2890896665 crossrefType "journal-article" @default.
• W2890896665 hasAuthorship W2890896665A5001192334 @default.
• W2890896665 hasAuthorship W2890896665A5061173580 @default.
• W2890896665 hasBestOaLocation W28908966652 @default.
• W2890896665 hasConcept C10138342 @default.
• W2890896665 hasConcept C105795698 @default.
• W2890896665 hasConcept C106159729 @default.
• W2890896665 hasConcept C117996083 @default.
• W2890896665 hasConcept C13290067 @default.
• W2890896665 hasConcept C136764020 @default.
• W2890896665 hasConcept C139719470 @default.
• W2890896665 hasConcept C149782125 @default.
• W2890896665 hasConcept C161584116 @default.
• W2890896665 hasConcept C162324750 @default.
• W2890896665 hasConcept C187625094 @default.
• W2890896665 hasConcept C19244329 @default.
• W2890896665 hasConcept C192620184 @default.
• W2890896665 hasConcept C24189920 @default.
• W2890896665 hasConcept C2777382242 @default.
• W2890896665 hasConcept C33923547 @default.
• W2890896665 hasConcept C41008148 @default.
• W2890896665 hasConcept C44731940 @default.
• W2890896665 hasConcept C55527203 @default.
• W2890896665 hasConcept C60092789 @default.
• W2890896665 hasConcept C85393063 @default.
• W2890896665 hasConcept C91602232 @default.
• W2890896665 hasConceptScore W2890896665C10138342 @default.
• W2890896665 hasConceptScore W2890896665C105795698 @default.
• W2890896665 hasConceptScore W2890896665C106159729 @default.
• W2890896665 hasConceptScore W2890896665C117996083 @default.
• W2890896665 hasConceptScore W2890896665C13290067 @default.
• W2890896665 hasConceptScore W2890896665C136764020 @default.
• W2890896665 hasConceptScore W2890896665C139719470 @default.
• W2890896665 hasConceptScore W2890896665C149782125 @default.
• W2890896665 hasConceptScore W2890896665C161584116 @default.
• W2890896665 hasConceptScore W2890896665C162324750 @default.
• W2890896665 hasConceptScore W2890896665C187625094 @default.
• W2890896665 hasConceptScore W2890896665C19244329 @default.
• W2890896665 hasConceptScore W2890896665C192620184 @default.
• W2890896665 hasConceptScore W2890896665C24189920 @default.
• W2890896665 hasConceptScore W2890896665C2777382242 @default.
• W2890896665 hasConceptScore W2890896665C33923547 @default.
• W2890896665 hasConceptScore W2890896665C41008148 @default.
• W2890896665 hasConceptScore W2890896665C44731940 @default.
• W2890896665 hasConceptScore W2890896665C55527203 @default.
• W2890896665 hasConceptScore W2890896665C60092789 @default.
• W2890896665 hasConceptScore W2890896665C85393063 @default.
• W2890896665 hasConceptScore W2890896665C91602232 @default.
• W2890896665 hasFunder F4320320997 @default.
• W2890896665 hasFunder F4320321091 @default.
• W2890896665 hasFunder F4320322025 @default.
• W2890896665 hasIssue "4" @default.
• W2890896665 hasLocation W28908966651 @default.
• W2890896665 hasLocation W28908966652 @default.
• W2890896665 hasOpenAccess W2890896665 @default.
• W2890896665 hasPrimaryLocation W28908966651 @default.
• W2890896665 hasRelatedWork W1487804950 @default.
• W2890896665 hasRelatedWork W1558432738 @default.
• W2890896665 hasRelatedWork W1966926926 @default.

• next