학회소식
갤러리
[2015년 제 3차] Information Content of Confidence Interval of Diebo
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2015-12-30
This paper computes the confidence interval (CI) of Diebold and Yilmaz (2012) spillover index and tries to assess its information content. Particularly, the DY spillover index measured with respect to the volatility time series exhibits both heteroscedast