Volatility spillover among sector equity returns under structural breaks
Year of publication: |
2022
|
---|---|
Authors: | Malik, Farooq |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 58.2022, 3, p. 1063-1080
|
Subject: | Equity volatility | GARCH | Structural breaks | Volatility spillover | Volatilität | Volatility | Strukturbruch | Structural break | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price | Aktienmarkt | Stock market |
-
Volatility spillovers between oil prices and the stock market under structural breaks
Ewing, Bradley T., (2016)
-
Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos, (2014)
-
Volatility spillover between exchange rate and stock returns under volatility shifts
Malik, Farooq, (2021)
- More ...
-
Forecasting value-at-risk in oil prices in the presence of volatility shifts
Ewing, Bradley T., (2018)
-
Modeling unemployment rates by race and gender : a nonlinear time series approach
Ewing, Bradley T., (2005)
-
Volatility transmission between oil prices and equity sector returns
Malik, Farooq, (2009)
- More ...