✦ LIBER ✦

Multivariate GARCH modeling of sector volatility transmission

✍ Scribed by Syed Aun Hassan; Farooq Malik

Book ID: 113871571
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 143 KB
Volume: 47
Category: Article
ISSN: 1062-9769
DOI: 10.1016/j.qref.2006.05.006

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Modelling asymmetric volatility dynamics

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

✍ Giuseppe Storti 📂 Article 📅 2007 🏛 Springer 🌐 English ⚖ 400 KB

Price volatility and rational expectatio

Price volatility and rational expectations in a sectoral framework commodity model: a multivariate GARCH approach

✍ Anthony N. Rezitis; Konstantinos S. Stavropoulos 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 287 KB

Modeling volatility in sector index retu

Modeling volatility in sector index returns with GARCH models using an iterated algorithm

✍ Farooq Malik; Syed Aun Hassan 📂 Article 📅 2004 🏛 Springer US 🌐 English ⚖ 784 KB

Volatility impulse responses for multiva

Volatility impulse responses for multivariate GARCH models: An exchange rate illustration

✍ Christian M. Hafner; Helmut Herwartz 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 494 KB

Transmission of equity returns and volat

Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis

✍ Andrew Worthington; Helen Higgs 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 125 KB

## Abstract This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indo

Multivariate Modeling of Daily REIT Vola

Multivariate Modeling of Daily REIT Volatility

✍ John Cotter; Simon Stevenson 📂 Article 📅 2006 🏛 Springer US 🌐 English ⚖ 671 KB