Asymmetric and high-order risk transmission across VIX and Chinese futures markets-Reference-Cited by-同舟云学术

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Asymmetric and high-order risk transmission across VIX and Chinese futures markets

Published:2024-05 Issue: Volume:93 Page:103114
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Zhang Qun,Zhang Zhendong,Luo Jiawen

Funder

National Natural Science Foundation of China

Natural Science Foundation of Guangdong Province

Philosophy and Social Science Foundation of Hunan Province

Guangdong Planning Office of Philosophy and Social Science

Guangzhou Municipal Science and Technology Bureau

Publisher

Elsevier BV

Reference57 articles.

1. Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility;Alam;Energy Economics,2019

2. Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets;Amar;The Quarterly Review of Economics and Finance,2022

3. The distribution of realized exchange rate volatility;Andersen;Journal of the American Statistical Association,2001

4. On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness;Arouri;Energy Economics,2012

5. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1998

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