Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-22
variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system …, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the …