Varoglu, Nesibe; Varoglu, Aysel - In: Machine Learning and Modeling Techniques in Financial …, (pp. 387-408). 2025
This paper investigates the volatility transmission between the S&P/TSX and key global financial markets, including the S&P500, Gold, VIX, WTI, and Brent Crude Oil (BO), using the Dynamic Correlation-Multivariate Stochastic Volatility (DC-MSV) model. By analyzing daily market index returns, the...