Browsing Open Theses & Dissertations by Thesis Supervisor "Da Fonseca, Jose"
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Volatility transmission between U.S. sector ETFs: an application of Diebold-Yilmaz connectedness framework
(Auckland University of Technology, 2015)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, ...