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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2023
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| 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 |