Wavelet-based multi-resolution GARCH model for financial spillover effects

Mathematics and Computers in Simulation

Volumn 81, Issue 11, 2011, Pages 2529-2539

  Huang, Shian Chang ^a  

^a NATIONAL CHANGHUA UNIVERSITY OF EDUCATION   (Taiwan)

Author keywords

BEKK GARCH model; Financial risk; Multi resolution decomposition; Spillover effects; Wavelet analysis

Indexed keywords

BEKK-GARCH MODEL; COMPLEX PATTERN; DATA LEVEL; EMPIRICAL RESULTS; FINANCIAL MARKET; FINANCIAL RISKS; GARCH MODELS; HIGHLY-CORRELATED; MULTI RESOLUTION DECOMPOSITION; MULTI-RESOLUTIONS; MULTIPLE RESOLUTIONS; MULTIVARIATE GARCH; SPILLOVER EFFECTS; STOCK INDICES; TIME HORIZONS; TIME-SCALES; VOLATILITY SPILLOVERS;

COMMERCE; INVESTMENTS; MULTIVARIANT ANALYSIS; WAVELET ANALYSIS;

WAVELET DECOMPOSITION;

EID: 79959319611     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2011.04.003     Document Type: Article

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