Volatility transmission in the Nigerian financial market
This paper examines the return and volatility spillovers in the Nigerian Financial market. We specifically analyse the spillovers in the capital market, money market and foreign exchange market utilizing monthly data for the period January 2002 to June 2017. The paper employs the Diebold and Yilmaz...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2019-06-01
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| Series: | Journal of Finance and Data Science |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918818300345 |