Measuring the relationship between intraday returns, volatility spill–overs and market beta during financial distress

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Brewer, Wayne Peter;
  • Subject: Modern portfolio theory | Efficient market hypothesis | Market beta | Volatility spill-over effects | E-GARCH | Aggregate shock model | Moderne portefeuljeteorie | Doeltreffende markhipotese | Mark-beta | Volatiliteit-oorspoel effekte | Kumulatiewe-skokmodel

MCom (Risk Management), North-West University, Potchefstroom Campus, 2013 The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volati... View more
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