Open AccessMeasuring volatility linkage, clustering and sensitivity to external shocks in Nigerian stock index
Author(s) -
Shafiu Ibrahim Abdullahi
Publication year - 2019
Publication title -
international journal of financial services management
Language(s) - English
Resource type - Journals
eISSN - 1741-8062
pISSN - 1460-6712
DOI - 10.1504/ijfsm.2019.102457
Subject(s) - volatility (finance) , economics , financial economics , volatility risk premium , univariate , volatility swap , diversification (marketing strategy) , portfolio , stock (firearms) , stock market index , autoregressive conditional heteroskedasticity , volatility clustering , bivariate analysis , stock market , econometrics , volatility smile , implied volatility , monetary economics , business , multivariate statistics , statistics , mathematics , mechanical engineering , paleontology , horse , marketing , engineering , biology