Volatility spillover among the sectors of emerging and developed markets: a hedging perspective

Volatility spillover among the sectors of emerging and developed markets: a hedging perspective

AbstractThis study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, auto, oil and gas, Information Technology (IT), hea...

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Bibliographic Details
Main Authors: Satyaban Sahoo, Sanjay Kumar
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Economics & Finance
Subjects:
BEKK model
go-garch
hedge ratio
sectoral index
volatility spillover
David McMillan, University of Stirling, UK
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2024.2316048

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