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Keywords: DCC-GARCH
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Journal Articles
Journal:
Review of Behavioral Finance
Review of Behavioral Finance (2024) 16 (2): 360–377.
Published: 19 September 2023
... the spillovers across different markets. Moreover, to explore herding behavior, the authors used a modified version of the CSAD measure of Chang et al. (2000) including extreme market movements. Finally, to study the link between these two phenomena, the authors estimated a DCC-GARCH model. Findings...
