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Dynamic asymmetric spillovers and volatility interdependence on China’s stock market · Study

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ArticleDynamic asymmetric spillovers and volatility interdependence on China’s stock market

Yufeng Chen2019

Article2019

Dynamic asymmetric spillovers and volatility interdependence on China’s stock market

Yufeng Chen · Wenqi Li · Fang Qu

45 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2015Good and bad uncertainty: Macroeconomic and financial market implications 2007Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

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2021Asymmetric volatility spillovers between crude oil and China's financial markets 2020Estimating Network Connectedness of Financial Markets and Commodities 2022Dynamic asymmetric connectedness in technological sectors 2024Tail risk spillovers among Chinese stock market sectors

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Year2019

Typearticle

Published2019-02-15

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2019.02.021

openalex_workW2912547876

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