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Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions

  • Published:2021-05 Issue: Volume:73 Page:325-347
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Wang Gang-Jin,Chen Yang-Yang,Si Hui-Bin,Xie Chi,Chevallier Julien

Funder

Natural Science Foundation of Hunan Province

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Huxiang Youth Talent Support Program

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference76 articles.

1. CoVaR;Adrian;American Economic Review,2016

2. Multiplex interbank networks and systemic importance: An application to European data;Aldasoro;Journal of Financial Stability,2018

3. Exchange return co-movements and volatility spillovers before and after the introduction of euro;Antonakakis;Journal of International Financial Markets, Institutions and Money,2012

4. Volatility spillover effects in European equity markets;Baele;Journal of Financial and Quantitative Analysis,2005

5. Testing the empirical performance of stochastic volatility models of the short-term interest rate;Bali;Journal of Financial and Quantitative Analysis,2000

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