SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Multivariate GARCH modeling of sector volatility transmission · Study

ArticleShelves

ArticleMultivariate GARCH modeling of sector volatility transmission

Syed Aun Hassan2007

Article2007

Multivariate GARCH modeling of sector volatility transmission

Syed Aun Hassan · Farooq Malik

158 citations·0/0 files stored·The Quarterly Review of Economics and Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 158 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1988A Capital Asset Pricing Model with Time-Varying Covariances 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?1990Correlations in Price Changes and Volatility across International Stock Markets

Cited by

2019Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets 2020Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China 2010Precious metals–exchange rate volatility transmissions and hedging strategies 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context 2017

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variancearticle · 22 shared references 2009Volatility transmission between oil prices and equity sector returnsarticle · 21 shared references 2002Volatility transmission in the oil and natural gas marketsarticle · 21 shared references 2005Volatility Transmission Models: A Surveypreprint · 19 shared references 2005Shock and volatility transmission in the oil, US and Gulf equity marketsarticle · 16 shared references 2019Do structural breaks in volatility cause spurious volatility transmission?article · 16 shared references

Details

Year2007

Typearticle

Published2007-04-20

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations158

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.qref.2006.05.006

openalex_workW1966404922

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Financial contagion and volatility spillover: An exploration into Indian commodity derivative market

2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed- t density approach

2018Are Islamic and conventional capital markets decoupled? Evidence from stock and bonds/sukuk markets in Malaysia

2020Asymmetric volatility connectedness among U.S. stock sectors