Investigating volatility transmission across international equity markets using multivariate fractional models (Q6056274)
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scientific article; zbMATH DE number 7744743
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| English | Investigating volatility transmission across international equity markets using multivariate fractional models |
scientific article; zbMATH DE number 7744743 |
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Investigating volatility transmission across international equity markets using multivariate fractional models (English)
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29 September 2023
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volatility transmission
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multivariate fractional models
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multivariate GARCH
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fractional co-integration
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long range dependence
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predictability
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0.87842876
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0.86312544
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0.85862297
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0.8533094
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0.8497553
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