Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market
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More about this item
Keywords
Forecasting; Volatility; Spillover; Return; Range; NIFTY; COVID 19;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2023-06-12 (Econometric Time Series)
- NEP-FMK-2023-06-12 (Financial Markets)
- NEP-RMG-2023-06-12 (Risk Management)
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