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Dynamic asymmetric spillovers and volatility interdependence on China’s stock market
16 references·4 citing·39 second hop
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2015Good and bad uncertainty: Macroeconomic and financial market implications525 cited
  • 2007Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets501 cited
  • 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
  • 2014World gold prices and stock returns in China: Insights for hedging and diversification strategies311 cited
  • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
  • 2008Measuring Downside Risk - Realised Semivariance261 cited
  • 2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities163 cited
  • 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5

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125 cited
  • 2015Volatility Spillovers Across Petroleum Markets119 cited
  • 2017Time-varying volatility spillovers between stock and precious metal markets with portfolio implications114 cited
  • Cited by

    • 2021Asymmetric volatility spillovers between crude oil and China's financial markets72 cited
    • 2020Estimating Network Connectedness of Financial Markets and Commodities26 cited
    • 2022Dynamic asymmetric connectedness in technological sectors26 cited
    • 2024Tail risk spillovers among Chinese stock market sectors24 cited