Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
