Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Diyama Awadallah"'
Publikováno v:
Borsa Istanbul Review, Vol 19, Iss 4, Pp 323-330 (2019)
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution
Externí odkaz:
https://doaj.org/article/5bf4f79a9f26434bb99465bde12440b4
Publikováno v:
Borsa Istanbul Review, Vol 19, Iss 4, Pp 323-330 (2019)
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution