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Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data
16 references·2 citing·35 second hop
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2016CoVaR2,395 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
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  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
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  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
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  • 2014Financial Network Systemic Risk Contributions

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559 cited
  • 2015Good and bad uncertainty: Macroeconomic and financial market implications525 cited
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    • 2023Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks25 cited
    • 2024Tail risk spillovers among Chinese stock market sectors24 cited