A Wavelet-based MRA-EDCC-GARCH Methodology for the Detection of News and Volatility Spillover across Sectoral Indices—Evidence from the Indian Financial Market
Year of publication: |
2015
|
---|---|
Authors: | Chakrabarty, Anindya ; De, Anupam ; Bandyopadhyay, Gautam |
Published in: |
Global Business Review. - International Management Institute. - Vol. 16.2015, 1, p. 35-49
|
Publisher: |
International Management Institute |
Subject: | Volatility spillovers | DCC-GARCH | wavelet analysis | multi-resolution analysis (MRA) |
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