Volatility spillovers across sectors and their magnitude: A sector-based analysis for Australia

While spillover across equity markets has been extensively investigated, volatility spillover across sectors has largely been under-examined in the current literature. This paper estimates the sectoral volatility using the ARMA-GARCH model and its spillover across Australian sectors on the VAR frame...

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Detalles Bibliográficos
Autor principal: Vo, Duc Hong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10234523/
https://www.ncbi.nlm.nih.gov/pubmed/37262027
http://dx.doi.org/10.1371/journal.pone.0286528

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10234523/
https://www.ncbi.nlm.nih.gov/pubmed/37262027
http://dx.doi.org/10.1371/journal.pone.0286528

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