Volatility spillovers and Asymmetric effects of Chinese A-share markets—Enterprise-Level data Based on high-dimensional social network models-Reference-Cited by-同舟云学术

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Volatility spillovers and Asymmetric effects of Chinese A-share markets—Enterprise-Level data Based on high-dimensional social network models

Published:2023-11-27 Issue: Volume: Page:1-25
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Wu Haifeng¹,Xie Qichang²³

Affiliation:

1. Institute of Finance, School of Economics, Nankai University, Tianjin, PR China

2. Department of Finance, Shandong Technology and Business University, Yantai, Shandong, PR China

3. Collaborative Innovation Center for Financial Service Transformation and Upgrading, Yantai, Shandong, PR China

Funder

Grant No. 21BJL083

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2023.2288051

Reference72 articles.

1. The Distribution of Realized Exchange Rate Volatility

2. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

3. Measuring Downside Risk - Realised Semivariance

4. Econometric analysis of realized volatility and its use in estimating stochastic volatility models

5. Volatility Spillovers Across Petroleum Markets

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Influence of geopolitical risk on stock volatility in the Middle East and North Africa states;International Scientific Conference „Business and Management“;2024-09-12

2. Assessing the effect of income inequality on household energy poverty—empirical evidence from China;Frontiers in Energy Research;2024-01-08

3. Extreme risk measurement for the oil and China’s sectors system—network-based approach and machine learning methods;Frontiers in Physics;2023-12-15

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