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Volatility spillover among sector equity returns under structural breaks |
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| Authors: | Malik Farooq |
| Affiliation: | 1.Franke College of Business, Northern Arizona University, Flagstaff, AZ, 86011, USA ; |
| Abstract: | Review of Quantitative Finance and Accounting - Recent evidence suggests that ignoring structural breaks in volatility in financial asset returns can result in overestimation of volatility... |
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