Measuring volatility linkage, clustering and sensitivity to external shocks in Nigerian stock index
Year of publication: |
2019
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Authors: | Abdullahi, Shafiu Ibrahim |
Published in: |
International journal of financial services management : IJFSM. - Olney, Bucks. : Inderscience Enterprises, ISSN 1460-6712, ZDB-ID 2193369-8. - Vol. 9.2019, 4, p. 345-368
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Subject: | volatility linkage | financial contagion | Nigerian stock market | EGARCH | TGARCH | diagonal BEKK | portfolio diversification | Volatilität | Volatility | Nigeria | Aktienindex | Stock index | Aktienmarkt | Stock market | Schock | Shock | ARCH-Modell | ARCH model | Börsenkurs | Share price | Portfolio-Management | Portfolio selection |
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