Asymmetric and high-order risk transmission across VIX and Chinese futures markets
Qun Zhang, Zhendong Zhang, Jiawen Luo
| Year of publication: |
2024
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|---|---|
| Authors: | Zhang, Qun ; Zhang, Zhendong ; Luo, Jiawen |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 93.2024, Art.-No. 103114, p. 1-17
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| Subject: | Asymmetric volatility | Chinese futures markets | Risk transmission | Structural breaks | Volatilität | Volatility | China | Derivat | Derivative | Risiko | Risk | Strukturbruch | Structural break | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2024.103114 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014543395