Volatility spillovers among MIST stock markets
This paper examines the effects of volatility spillover between MIST stock markets. We used daily data from January 3, 2012, to November 16, 2021, and the test of causality in variance, including structural breaks. First, we observed no structural break for Turkey and Indonesia, but there is a struc...
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-05-01
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| Series: | Data Science in Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/DSFE.2022004?viewType=HTML |