Asymmetric volatility connectedness among US stock sectors
Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo, Tahir Suleman, Sang Hoon Kang
| Year of publication: |
2021
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| Authors: | Mensi, Walid ; Nekhili, Ramzi ; Vo Xuan Vinh ; Suleman, Tahir ; Kang, Sang Hoon |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-24
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| Subject: | Asymmetric spillovers | Connectedness network | Realized volatility | U.S. stock sectors | Volatilität | Volatility | Spillover-Effekt | Spillover effect | USA | United States | Aktienmarkt | Stock market | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101327 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012822000