Qureshi, Saba; Qureshi, Fiza; Soomro, Arjumand Bano; … - 2022
This study empirically investigates the spillover between exchange rate risk and sectoral returns in Pakistan over the period of 1992–2017 using high-frequency data. Building on the Wavelet multi- resolution-extended dynamic conditional correlation GARCH (MRA-EDCC GARCH) model, our findings...