A Wavelet-based MRA-EDCC-GARCH Methodology for the Detection and Volatility Spillover across Sectoral Indices (Record no. 42652)
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| fixed length control field | 01788nab a22001697a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 160615b2015 xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chakrabarty, Anindya |
| 245 ## - TITLE STATEMENT | |
| Title | A Wavelet-based MRA-EDCC-GARCH Methodology for the Detection and Volatility Spillover across Sectoral Indices |
| Statement of responsibility, etc. | Evidence from the Indian Financial Market / Chakrabarty, An |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2015 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 35 - 49 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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 conditional correlation GARCH (MRA-EDCC GARCH) model and compared the results with that of the traditional vector-auto regression-extended dynamic conditional correlation GARCH (VAR-EDCC GARCH) model. The study reveals that the volatility interaction is scale dependent. Significant variation in the magnitude and direction of the spillover incidences are observed between the results of the two models which elucidates that the traditional VAR-EDCC GARCH model may not be sufficient in unlocking the complex pattern of volatility interaction and the multiscale analysis can be further used to extract the hidden information. Shock spillover incidences are found to decrease with scale while the volatility spillover is found to vary both in magnitude and direction across scales. Previous literatures have established that volatility interaction among financial assets can be leveraged successfully in... |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Multi-Resolution Analysis (Mra) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Wavelet Analysis |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Dcc-Garch |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Volatility Spillovers |
| 773 ## - HOST ITEM ENTRY | |
| Main entry heading | Global Business Review |
| Place, publisher, and date of publication | February |
| Withdrawn status | Lost status | Damaged status | Not for loan | Permanent Location | Current Location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
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| Ahmedabad (HO) | Ahmedabad (HO) | 21/06/2016 | Vol. 16, Issue. 1 | 019121 | 21/06/2016 | 21/06/2016 | Articles |