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Market volatility and spillover across 24 sectors in Vietnam

While market volatility and volatility connectedness across different financial markets have been examined, the spillover effects across sectors have been under-examined. As such, this study aims to examine market volatility and the volatility patterns for 24 Vietnamese sectors. Our study uses the A...

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Principais autores: Hung Quang Bui, Thao Tran, Toan Tan Pham, Hung Le-Phuc Nguyen, Duc Hong Vo
Formato: Artigo
Idioma:Inglês
Publicado em: Taylor & Francis Group 2022-12-01
coleção:Cogent Economics & Finance
Assuntos:
Volatility
spillover
ARMA-GARCH
VAR
Vietnamese sectors
Acesso em linha:https://www.tandfonline.com/doi/10.1080/23322039.2022.2122188
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