Asymmetric risk spillovers and its determinants in global equity markets-Reference-Cited by-同舟云学术

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Asymmetric risk spillovers and its determinants in global equity markets

Published:2023-08 Issue: Volume:624 Page:128926
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Gong Xue^ORCID,Zeng Xin,Xu Weijun,Zhang Weiguo

Funder

National Natural Science Foundation of China

National Social Science Fund of China

Basic and Applied Basic Research Foundation of Guangdong Province

National Natural Science Foundation of China National Outstanding Youth Science Fund Project

Publisher

Elsevier BV

Subject

Statistical and Nonlinear Physics,Statistics and Probability

Reference44 articles.

1. Measuring financial asset return and volatility spillovers, with application to global equity markets;Diebold;Econ. J.,2009

2. Better to give than to receive: Predictive directional measurement of volatility spillovers;Diebold;Int. J. Forecast.,2012

3. Stocks, bonds, money markets and exchange rates: measuring international financial transmission;Ehrmann;J. Appl. Econometrics,2011

4. Volatility spillovers between the Chinese and world equity markets;Zhou;Pac.-Basin Finance J.,2012

5. Asymmetric connectedness on the US stock market: Bad and good volatility spillovers;Baruník;J. Financial Mark.,2016

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. How do risk shocks reshape the spillovers among the oil, gold, emerging, and developed markets? Evidence from a new TVP-VAR-based wavelet coherence framework;Applied Economics;2024-08-08

2. Asymmetric Return Connectedness Among Indian Equity Sectors:  Insights from Recent Global  Disruptions;Global Business Review;2024-06-02

3. Jump Risk Contagion and Determinants Driven by COVID-19 in Sino-US Stock Market: An Empirical Analysis from a Dependence Perspective;Fluctuation and Noise Letters;2024-02-23

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