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Keywords: Multivariate 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
..., from 2009 to 2016, are analyzed using Multivariate GARCH (BEKK and Dynamic Conditional Correlation (DCC)) models. Findings The result of cointegration test shows that the sample frontier markets are not linked in long run, and Granger causality test reveals that the markets under consideration do...
