Studi Empiris Contagion Effect denganModel DCC MGARCH
نویسندگان
چکیده
منابع مشابه
On Spatial Contagion and mGARCH models
We propose a method for defining and measuring the spatial contagion between two financial markets. Next we investigate which from the large family of multivariate GARCH models is the best tool for modeling spatial contagion.
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ژورنال
عنوان ژورنال: Al-Amwal : Jurnal Ekonomi dan Perbankan Syari'ah
سال: 2017
ISSN: 2527-3876,2303-1573
DOI: 10.24235/amwal.v9i1.1636