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Keywords: VAR-EGARCH model
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Journal Articles
International Journal of Emerging Markets (2017) 12 (3): 508–531.
Published: 17 July 2017
... on the market and sector returns, an event study approach is applied. On the other hand, a univariate VAR-EGARCH model is employed to explore whether, and to what extent, volatilities at the market and sector levels respond to such events. Findings The results suggest that political uncertainty has...
