Mishra, Aswini Kumar; Agrawal, Saksham; Patwa, Jash Ashish - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 294-312
Purpose - The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong)...