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Keywords: Volatility connectedness
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Journal Articles
The impact of the Russia–Ukraine conflict (2022) on volatility connectedness between the Egyptian stock market sectors: evidence from the DCC-GARCH-CONNECTEDNESS approach
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Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (1): 105–121.
Published: 08 December 2022
...Hisham Abdeltawab Mahran Purpose This study investigates the impact of the Russia–Ukraine war (2022) on the volatility connectedness between Egyptian stock market sectors. Design/methodology/approach This study employs the newest dynamic conditional correlation (DCC)-generalized autoregressive...
