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Forecasting the Chinese stock volatility across global stock markets

  • Published:2019-07 Issue: Volume:525 Page:466-477
  • 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:

Liu Jing,Ma Feng,Zhang Yaojie

Funder

China Postdoctoral Science Foundation

Sichuan Social Science Planning Project

Innovation Spark Project of Sichuan University

Sichuan University project

Soft science project of Department of Science and Technology of Sichuan Province

Natural Science Foundation of China

Humanities and Social Science Fund of the Ministry of Education

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference65 articles.

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

2. Chinese stock market volatility and the role of US economic variables;Chen;Pac.-Basin Finance J.,2016

3. Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?;Peng;Physica A,2018

4. L. Lei, Y. Zhang, Y. Wei, Forecasting the volatility of Chinese stock market: An international volatility index. Working paper, 2018.

5. Contagion as a domino effect in global stock markets;Markwat;J. Bank. Financ.,2009

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