Interconnectedness and Spillover Effects amongst Stock Markets of the US, China, Germany, Japan and India using DCC-GARCH Model and Diebold Yilmaz Method

Interconnectedness and Spillover Effects amongst Stock Markets of the US, China, Germany, Japan and India using DCC-GARCH Model and Diebold Yilmaz Method

In a rapidly globalising world, economic boundaries are dissolving as stakeholders seek broader opportunities. Corporations are now multinational, and investors are increasingly turning to global stock markets to maximise gains. Volatility serves as a crucial benchmark, guiding investment decisions...

Full description

Saved in:
Bibliographic Details
Main Authors: Archana Agarwal, Nidhi Dhankhar, Sunita Mehla
Format: Article
Language:English
Published: Faculty of Management & Finance, University of Colombo 2024-12-01
Series:Colombo Business Journal
Subjects:
dcc-garch model
diebold and yilmaz method
dynamic connectedness
transmission of information
volatility spillover
Online Access:https://mgmt.cmb.ac.lk/cbj/wp-content/uploads/2024/12/7.-CBJ-V15I2-Interconnectedness-amongst-Stock-Indices.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items

Similar Items