Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets
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 fi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-12-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845019300419 |