Alshater, Muneer M.; Alqaralleh, Huthaifa; El Khoury, Rim
(2023-08-29)
This paper investigates the asymmetric, time, and frequency-based volatility spillovers in global IT industries. To this end, we introduce a new Wavelet-Time Varying Parameter-VAR (W-TVP-VAR) approach to compute connectedness ...