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Multivariate GARCH modeling of sector volatility transmission
Syed Aun Hassan,
Farooq Malik
Research output
:
Contribution to journal
›
Article
›
peer-review
114
Scopus citations
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Dive into the research topics of 'Multivariate GARCH modeling of sector volatility transmission'. Together they form a unique fingerprint.
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Keyphrases
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
100%
Volatility Transmission
100%
Sectoral Indices
100%
Multivariate GARCH Models
100%
Common Information
50%
Transmission Mechanism
50%
Volatility
50%
Hedging
50%
Mean-variance
50%
Financial Markets
50%
Allocation Decisions
50%
Market Participants
50%
Shock Transmission
50%
Cross-market
50%
Conditional Variance
50%
US Sectors
50%
Optimal Portfolio Allocation
50%
Financial Assets
50%
Daily Returns
50%
Economics, Econometrics and Finance
Volatility
100%
Generalized Autoregressive Conditional Heteroskedasticity
100%
Hedging
33%
Make-to-Order
33%
Investors
33%
Transmission Mechanism
33%
Financial Market
33%
ARCH Model
33%