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Showing 1 to 2 of 2 for “"Volatility connectedness"”.
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Connectedness of the African Equity Markets: A Time-Frequency Spillover Analysis
This paper analyses return and volatility spillovers across the five largest and oldest African equity markets, namely: South Africa, Morocco, Egypt, Nigeria and Tunisia. The time-domain approach of Diebold and Yilmaz (2012) and the frequency-domain approach of Barunik and Khrehlik (2018) are …