Volatility spillovers across daytime and overnight information between China and world equity markets
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/00036846.2015.1049335
Reference25 articles.
1. Dynamic Conditional Correlation: On Properties and Estimation
2. Volatility spillovers from the Chinese stock market to economic neighbours
3. Multivariate GARCH models: a survey
4. Market Integration and Investment Barriers in Emerging Equity Markets
5. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
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1. Industries Return and Volatility Spillover in Chinese Stock Market: An Early Warning Signal of Systemic Risk;IEEE Access;2019
2. Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect;International Journal of Financial Studies;2017-01-18
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