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Keywords: DCC–GARCH
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Journal Articles
Volatility in frontier markets: a Multivariate GARCH analysis
Available to Purchase
Journal of Advances in Management Research (2019) 16 (3): 294–312.
Published: 21 December 2018
... the co-movement of ten emerging and four frontier markets with US bond markets using DCC–GARCH model for the monthly data starting from October 2000 to December 2011. The results reported in the study clarified that as compared to emerging markets, frontier markets have better prospects...
