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A Wavelet-based MRA-EDCC-GARCH Methodology for the Detection and Volatility Spillover across Sectoral Indices
The article studies the nature and direction of shock and volatility transmission among the nine non-overlapping sectoral indices of Bombay Stock Exchange (BSE) across eight different scales (from 2-4 days to 1-2 years) using a newly developed wavelet-based multi-resolution-extended dynamic conditi...
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| Format: | Article |
| Language: | English |
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2015
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