Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …-stage multivariate EGARCH model's results show that the conditional volatilities of both asset portfolios surge more after positive news …
