Investigating volatility transmission across international equity markets using multivariate fractional models

DOI10.1111/itor.12894OpenAlexW3094753457MaRDI QIDQ6056274

Unnamed Author, Foued Saâdaoui

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12894

zbMATH Keywords

long range dependencepredictabilitymultivariate GARCHvolatility transmissionfractional co-integrationmultivariate fractional models

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets ⋮ On the role of commodity futures in portfolio diversification

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