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Keywords: Generalized forecast error variance decomposition
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2023) 13 (1): 79–101.
Published: 24 December 2021
.... Then, the generalized forecast error variance decomposition (GFEVD) model is established to measure their interaction. The time-varying features of the spillover index are also captured based on the method of rolling time window. Compared with other methods, the GJR-GARCH model usually achieves more accurate volatility...
