Asymmetric volatility connectedness among US stock sectors
Year of publication: |
2021
|
---|---|
Authors: | Mensi, Walid ; Nekhili, Ramzi ; Xuan Vinh Vo ; Suleman, Tahir ; Kang, Sang Hoon |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-24
|
Subject: | Asymmetric spillovers | Connectedness network | Realized volatility | U.S. stock sectors | USA | United States | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | ARCH-Modell | ARCH model |
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