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Keywords: Spillover connectedness
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Journal Articles
International Journal of Emerging Markets (2024) 19 (11): 3938–3976.
Published: 09 February 2023
... employ the multivariate factor stochastic volatility (mvFSV) framework to extract the volatility of the different sectoral indices. Based on this evidence, the authors employ the quantile vector autoregressive (QVAR) approach to examine the dynamic spillover connectedness among the aforementioned indices...
