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
The asymmetric high-frequency volatility transmission across international stock markets
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DOI: 10.1016/j.frl.2019.04.025
Abstract: Abstract We construct a MHAR-DCC model to investigate the high-frequency volatility transmission across international stock markets. We use the overnight volatility estimator to eliminate the effects of non-synchronous trading problem. We analyze the asymmetric volatility… read more here.
Keywords: volatility; stock markets; volatility transmission; across international ... See more keywords