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Wavelet decomposition approach for understanding time-varying relationship of financial sector variables: a study of the indian stock market
2020
Multiple Criteria Decision Making
In this paper, we study the effect of overall stock market sentiment in India on sectoral indices and on individual stock prices in terms of co-movement, dependence and volatility transmission along with the magnitude and persistence of the effects. The study uses wavelet decomposition framework for breaking down different financial time series into time-varying components. Quantile Regression, Wavelet Multiple Correlation and Cross-Correlation analysis, and Diebold-Yilmaz spillover analysis
doi:10.22367/mcdm.2020.15.03
fatcat:lloss5bp3ncrrocyz2xvk4p2xm