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Tail risk spillovers among Chinese stock market sectors · Study

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ArticleTail risk spillovers among Chinese stock market sectors

Minhua Ouyang2024

Article2024

Tail risk spillovers among Chinese stock market sectors

Minhua Ouyang · Hailian Xiao

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

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

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Efficient Tests for an Autoregressive Unit Root 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2004CAViaR 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions 2002A Rational Expectations Model of Financial Contagion 1993Stock Prices, News, and Business Conditions

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Year2024

Typearticle

Published2024-03-16

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2024.105233

openalex_workW4392883665

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