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Keywords: Shock spillover
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2021) 38 (1): 86–113.
Published: 07 December 2020
... that using information about shock spillovers could result in strategies that can obtain better portfolio value over time compared to basic benchmark strategies. Originality/value First, this paper allows for the spillovers of shocks in variables within the VAR models in all directions. Second, a dynamic...
