Multivariate GARCH modeling of sector volatility transmission

Quarterly Review of Economics and Finance

Volumn 47, Issue 3, 2007, Pages 470-480

  Hassan, Syed Aun ^a   Malik, Farooq ^b  

^a MORNINGSIDE COLLEGE   (United States)

^b UNIVERSITY OF SOUTHERN MISSISSIPPI   (United States)

Author keywords

MGARCH; Sector indexes; Volatility transmission

Indexed keywords

EID: 34250811975     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2006.05.006     Document Type: Article

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