Recursive Partial Correlation Algorithm for Spillovers

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A procedure used to identify a minimal set of influential assets whose tail risks drive the spillover component in the CAViaR-SE model.

Why It Matters

This is the specific, novel method used to select the influential assets driving the spillover component, reducing model complexity.

Related Papers

• openalex-2603.25217-modeling-and-forecasting-tail-risk-spillovers-a-component-ba