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Business-linkage volatility spillovers between US industries · Study

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ArticleBusiness-linkage volatility spillovers between US industries

Linh Xuan Diep Nguyen2019

OA

Articlegreen2019

Business-linkage volatility spillovers between US industries

Linh Xuan Diep Nguyen · Simona Mateut · Thanaset Chevapatrakul

42 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2012The Network Origins of Aggregate Fluctuations 1990Correlations in Price Changes and Volatility across International Stock Markets 1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 2011The Granular Origins of Aggregate Fluctuations

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2023Dynamic spillover and connectedness in higher moments of European stock sector markets 2021Contagion effect of systemic risk among industry sectors in China’s stock market

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Year2019

Typearticle

Published2019-11-15

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2019.105699

openalex_workW2599295705

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