Emenike, Kalu O. - In: Journal of derivatives and quantitative studies : … 30 (2022) 4, pp. 246-259
bond volatility interaction between African countries using bivariate BEKK-GARCH (1, 1) model. Based on a sample of eight … sovereign bond. Next, the results show absence of volatility interaction between Ghana and Nigeria sovereign bonds. The results … evidence of bidirectional volatility interaction between Botswana and South Africa. Overall, the results show existence of full …
