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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | article |
| Language: | EN |
| Published: |
MDPI AG
2021
|
| Subjects: | |
| Online Access: | https://doaj.org/article/ea6562b4c83a4d96989e2021bbe132d5 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|