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Intraday return and volatility spillover mechanism from Chinese to Japanese stock market · Study

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ArticleIntraday return and volatility spillover mechanism from Chinese to Japanese stock market

Yusaku Nishimura2014

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Articlegreen2014

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

Yusaku Nishimura · Yoshiro Tsutsui · Kenjiro Hirayama

28 citations·0/0 files stored·Journal of the Japanese and International Economies

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1995Multivariate Simultaneous Generalized ARCH 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2001The Distribution of Realized Exchange Rate Volatility 1990Correlations in Price Changes and Volatility across International Stock Markets

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2018Systemic importance analysis of chinese financial institutions based on volatility spillover network 2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance

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Year2014

Typearticle

Published2014-11-30

VenueJournal of the Japanese and International Economies

ISSN-L0889-1583

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jjie.2014.11.005

openalex_workW2047086437

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