An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models
Ouael El Jebari, Abdelati Hakmaoui
| Year of publication: |
2020
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|---|---|
| Authors: | El Jebari, Ouael ; Hakmaoui, Abdelati |
| Published in: |
International journal of computational economics and econometrics : IJCEE. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1189, ZDB-ID 2545120-0. - Vol. 10.2020, 3, p. 291-307
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| Subject: | volatility spillover | dynamic conditional correlations | interdependencies | domestic sectors | multivariate GARCH models | ARCH-Modell | ARCH model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Korrelation | Correlation | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJCEE.2020.108392 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012271063