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The asymmetric high-frequency volatility transmission across international stock markets · Study

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ArticleThe asymmetric high-frequency volatility transmission across international stock markets

Jiawen Luo2019

Article2019

The asymmetric high-frequency volatility transmission across international stock markets

Jiawen Luo · Shengquan Wang

30 citations·0/0 files stored·Finance research letters

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

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References

2002Dynamic Conditional Correlation 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2008A Simple Approximate Long-Memory Model of Realized Volatility 2000Volatility spillover effects from Japan and the US to the Pacific–Basin 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 2008The Volatility of Realized Volatility

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2022Dynamic asymmetric connectedness in technological sectors

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Year2019

Typearticle

Published2019-04-12

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2019.04.025

openalex_workW2947561931

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