Maurya, Prince Kumar; Bansal, Rohit; Mishra, Anand Kumar - In: Studies in Economics and Finance 41 (2024) 5, pp. 1119-1140
Purpose This paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using the volatility indices. Design/methodology/approach The connectedness approach based on the time-varying parameter vector autoregression model has been used to investigate the linkage. The...