Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets

C-Tier

Journal: Journal of Futures Markets

Year: 2022

Volume: 42

Issue: 5

Pages: 868-887

Authors (3)

Geert Dhaene (KU Leuven) Piet Sercu (not in RePEc) Jianbin Wu (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count