Volatility spillover among sector equity returns under structural breaks
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-021-01018-8.pdf
Reference29 articles.
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3. Caporin M, Malik F (2020) Do structural breaks in volatility cause spurious volatility transmission? J Empir Financ 55:60–82
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5. Engle R, Kroner K (1995) Multivariate simultaneous generalized ARCH. Econom Theor 11:122–150
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