The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Year of publication: |
2024
|
---|---|
Authors: | Sheng, Lin Wen ; Uddin, Mohammed Gazi Salah ; Sen, Ding ; Hao, Zhu Shi |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 91.2024, Art.-No. 102964, p. 1-14
|
Subject: | Forecast | Regime switching | Spillover asymmetry | Volatility | Volatilität | Spillover-Effekt | Spillover effect | Hongkong | Hong Kong | USA | United States | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Shanghai | Aktienindex | Stock index | Kapitaleinkommen | Capital income |
-
Lin, Wensheng, (2017)
-
Multivariate volatility forecasts for stock market indices
Wilms, Ines, (2021)
-
Omri, Imen, (2023)
- More ...
-
Nonlinear tail dependence between the housing and energy markets
Stenvall, David, (2020)
-
Analysis of forecasting models in an electricity market under volatility
Uddin, Mohammed Gazi Salah, (2021)
-
Bekiros, Stelios, (2015)
- More ...