VOLATILITY SPILLOVER BETWEEN CHINA’S CRUDE OIL FUTURES AND SECTORAL STOCK MARKETS FROM A FREQUENCY DYNAMICS PERSPECTIVE
Author:
Affiliation:
1. College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, P. R. China
2. School of Finance, Nanjing University of Finance and Economics, Nanjing, P. R. China
Abstract
Publisher
World Scientific Pub Co Pte Ltd
Link
https://www.worldscientific.com/doi/pdf/10.1142/S021759082447012X
Reference31 articles.
1. Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak
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3. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
4. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
5. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*
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