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...

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Autores principales:	Sangram Keshari Jena, Aviral Kumar Tiwari, Ashutosh Dash, Emmanuel Joel Aikins Abakah
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	volatility spillover connectedness large-, mid-, and small-cap portfolio diversification and hedging time frequency domain Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/ea6562b4c83a4d96989e2021bbe132d5
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Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management

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