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Keywords: DCC-GARCH
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Journal Articles
International Journal of Emerging Markets 1–25.
Published: 12 June 2026
... Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model is used to estimate time-varying return correlations among EUA, BTC and ETH. And second, the Diebold–Yilmaz (2012) spillovers index based on forecast error variance decomposition is applied to quantify the sizes, directions...
