Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive
  Approach   Volatility is a key measure of risk in financial analysis. The high
volatility of one financial asset today could affect the volatility of another
asset tomorrow. These lagged effects among volatilities - which we call
volatility spillovers - are studied using the Vector AutoRegressive (VAR)
model. We account for the possible fat-tailed distribution of the VAR model
errors using a VAR model with errors following a multivariate Student
t-distribution with unknown degrees of freedom. Moreover, we study volatility
spillovers among a large number of assets. To this end, we use penalized
estimation of the VAR model with t-distributed errors. We study volatility
spillovers among energy, biofuel and agricultural commodities and reveal
bidirectional volatility spillovers between energy and biofuel, and between
energy and agricultural commodities.

16
The categories of this paper are: stat
13
The categories of this paper are: quant-ph
12
The categories of this paper are: nucl-th
9
The categories of this paper are: nlin
30
The categories of this paper are: q-alg
26
The categories of this paper are: bayes-an
22
The categories of this paper are: chao-dyn
33
The categories of this paper are: plasm-ph
37
The categories of this paper are: supr-con
0
The categories of this paper are: hep-ph
10
The categories of this paper are: q-bio
27
The categories of this paper are: comp-gas
18
The categories of this paper are: econ
2
The categories of this paper are: math
20
The categories of this paper are: acc-phys
21
The categories of this paper are: adap-org