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Keywords: BEKK
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Journal Articles
European Journal of Management and Business Economics (2020) 29 (1): 23–40.
Published: 06 September 2019
... five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers...
