Dynamic volatility spillover and network connectedness across ASX sector markets
Author:
Funder
Ministry of Education
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
https://link.springer.com/content/pdf/10.1007/s12197-021-09544-w.pdf
Reference41 articles.
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3. Balli F, Balli HO, Hong R (2016) Spillover effects on the sectoral returns for Australian and New Zealand equity markets. J Econ Financ 40:568–589
4. Barbi AQ, Prataviera GA (2019) Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees. Physica A 523:876–885
5. Basu, S. Das, S. Michailidis, G. Purnanandam, A., 2017. A system-wide approach to measure connectivity in the financial sector (November 15, 2019). Available at SSRN: https://ssrn.com/abstract=2816137 or https://doi.org/10.2139/ssrn.2816137
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