Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?

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Lakshmi Balasubramanyan;
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    • jel: jel:C32 | jel:F3 | jel:G15

Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix under a time-vary... View more
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