Volatility transmission between U.S. sector ETFs: an application of Diebold-Yilmaz connectedness framework
This paper utilizes the Connectedness framework of Diebold and Yilmaz (2011) to investigate volatility transmission between ten iShares sector ETFs over the sample ranging from 2 January 2001 to 31 December 2014. Generally, the empirical results indicate that the total volatility spillover of ten ex...
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| Format: | Others |
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Auckland University of Technology,
2015-11-30T03:24:56Z.
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| Online Access: | Get fulltext |