Browsing by Subject "GARCH-BEKK model"
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Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis
(Universidad ESAN. ESAN Ediciones , 2022-12-28 )Purpose: The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India ...acceso abierto