Impacts of U.S. stock market crash on South African top sector indices, volatility, and market linkages : evidence of copula-based BEKK-GARCH models
Year of publication: |
2023
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Authors: | Mudiangombe, Benjamin ; Muteba Mwamba, John |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 11.2023, 2, Art.-No. 77, p. 1-19
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Subject: | volatility spillover | stock market crash | market linkages | global financial crisis | COVID-19 | copulas | BEKK-GARCH | Finanzkrise | Financial crisis | Volatilität | Volatility | Aktienmarkt | Stock market | USA | United States | Spillover-Effekt | Spillover effect | Südafrika | South Africa | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Coronavirus | Börsenkurs | Share price | Aktienindex | Stock index |
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