Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method
Archana Agarwal, Nidhi Dhankhar, Sunita Mehla
| Year of publication: |
2024
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| Authors: | Agarwal, Archana ; Dhankhar, Nidhi ; Mehla, Sunita |
| Published in: |
Colombo business journal : international journal of theory & practice. - Colombo, Sri Lanka : Faculty of Management & Finance, University of Colombo, ISSN 2579-2210, ZDB-ID 3071154-X. - Vol. 15.2024, 2, p. 162-189
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| Subject: | DCC-GARCH Model | Diebold and Yilmaz Method | Dynamic Connectedness | Transmission of Information | Volatility Spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Japan | Deutschland | Germany | China | Aktienmarkt | Stock market | Indien | India | ARCH-Modell | ARCH model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4038/cbj.v15i2.197 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015210715