Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis
Purpose – The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and tw...
Kaydedildi:
| Asıl Yazarlar: | , , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Emerald Publishing
2022-12-01
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| Seri Bilgileri: | Journal of Economics Finance and Administrative Science |
| Konular: | |
| Online Erişim: | https://www.emerald.com/insight/content/doi/10.1108/JEFAS-06-2021-0082/full/pdf |
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