Fengler, MatthiasMatthiasFenglerHerwartz, HelmutHelmutHerwartz2023-04-132023-04-132015https://www.alexandria.unisg.ch/handle/20.500.14171/107080In highly integrated markets, news spreads at a fast pace and bedevils risk monitoring and optimal asset allocation. We therefore propose global and dis- aggregated measures of variance transmission that allow one to assess spillovers locally in time. Key to our approach is the vector ARMA representation of the second-order dynamics of the popular BEKK model. In an empirical applica- tion to a four-dimensional system of US asset classes - equity, fixed income, foreign exchange and commodities - we illustrate the second-order transmis- sions at various levels of (dis)aggregation. Moreover, we demonstrate that the proposed spillover indices are informative on the value-at-risk violations of port- folios composed of the considered asset classes.enmultivariate GARCHspillover indexvalue-at-riskvariance spilloversvariance decompositionworking paper