Multivariate GARCH modeling of sector volatility transmission

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%