Chakrabarty, Anindya; De, Anupam; Bandyopadhyay, Gautam - In: Global Business Review 16 (2015) 1, pp. 35-49
developed wavelet-based multi-resolution–extended dynamic conditional correlation GARCH (MRA–EDCC GARCH) model and compared … the results with that of the traditional vector-auto regression–extended dynamic conditional correlation GARCH (VARâ …€“EDCC GARCH) model. The study reveals that the volatility interaction is scale dependent. Significant variation in the magnitude …