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Volatility spillover among sector equity returns under structural breaks · Study

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ArticleVolatility spillover among sector equity returns under structural breaks

Farooq Malik2021

OA

Articlebronze2021

Volatility spillover among sector equity returns under structural breaks

22 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Multivariate Simultaneous Generalized ARCH 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1998Modeling Asymmetric Comovements of Asset Returns 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 2002A Rational Expectations Model of Financial Contagion 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

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Details

Year2021

Typearticle

Published2021-09-16

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11156-021-01018-8

openalex_workW3200266147

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