Title: Volatility spillovers and latent network linkages
Authors: Laurent Pauwels - University of Sydney (Australia) [presenting]
Manabu Asai - Soka University (Japan)
Michael McAleer - ()
Abstract: Volatility spillovers of financial assets is proposed to be modeled using network models. The spillover linkages across assets are modelled with a latent network. The latent network, which informs on the linkages across assets, is identified using Bayesian computational methods. Once the network is identified, the spillover effects across markets can be estimated and statistically tested. This approach reduces the estimation burden of the spillover effects typically encountered in multivariate volatility models with large parameter space.