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Keywords: MGARCH-DCC
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2025) 26 (4): 653–676.
Published: 08 August 2025
.... Design/methodology/approach Focusing on 19 ETFs from May 15, 2019, to May 1, 2024, the study employed the Multivariate Generalized Autoregressive Conditional Heteroskedasticity-Dynamic Conditional Correlation (MGARCH-DCC) and Wavelet Local Multiple Wavelet (WLMC) analysis. The identification of dynamic...
