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Volatility spillover among sector equity returns under structural breaks

Recent evidence suggests that ignoring structural breaks in volatility in financial asset returns can result in overestimation of volatility spillover among markets. This paper examines volatility spillover among major US equity sectors (i.e. Financial, Technology, Energy, Health, Consumer and Indus...

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Detalles Bibliográficos
Autor principal: Malik, Farooq
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8444180/
http://dx.doi.org/10.1007/s11156-021-01018-8

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