| Autor: |
Huthaifa Alqaralleh, Diyama Awadallah, Noor Al-Ma'aitah |
| Jazyk: |
angličtina |
| Rok vydání: |
2019 |
| Předmět: |
|
| Zdroj: |
Borsa Istanbul Review, Vol 19, Iss 4, Pp 323-330 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2214-8450 |
| DOI: |
10.1016/j.bir.2019.06.001 |
| Popis: |
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 and the varying rendered time. The most obvious finding to emerge from this study is that the dynamic connectedness of asymmetries in the chosen sample can well be modelled using a combination approach, such as the DCC Copula-GARCH model. Moreover, past-return volatility has a positive impact on current versatility with varying intensity. Keywords: Financial connectedness, Copula-EGARCH, Dynamic asymmetric spillover, JEL classification: G14, G15, G40, C58 |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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