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Keywords: Volatility spillover
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Journal Articles
Journal of Economics, Finance and Administrative Science (2022) 27 (54): 294–312.
Published: 17 May 2022
...Aswini Kumar Mishra; Saksham Agrawal; Jash Ashish Patwa Purpose The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four...
Journal Articles
Journal of Economics, Finance and Administrative Science (2019) 24 (47): 66–81.
Published: 06 February 2019
...Ngo Thai Hung Purpose This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach The analysis uses a vector autoregression...
