Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator
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DOI: 10.1016/j.bir.2020.10.001
Abstract: Abstract Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR) with GARCH,… read more here.
Keywords: har garch; volatility transmission; realized volatility; volatility ... See more keywords