Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management
The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-, mid-, an...
Guardado en:
Autores principales: | Sangram Keshari Jena, Aviral Kumar Tiwari, Ashutosh Dash, Emmanuel Joel Aikins Abakah |
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Formato: | article |
Lenguaje: | EN |
Publicado: |
MDPI AG
2021
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Materias: | |
Acceso en línea: | https://doaj.org/article/ea6562b4c83a4d96989e2021bbe132d5 |
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