Asymmetric extreme risk spillovers between the Chinese stock market and index futures market : an MV-CAViaR based intraday CoVaR approach
Zhihong Jian, Shuai Wu, Zhican Zhu
| Year of publication: |
2018
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|---|---|
| Authors: | Jian, Zhihong ; Wu, Shuai ; Zhu, Zhican |
| Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 37.2018, p. 98-113
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| Subject: | Asymmetric risk spillovers | Intraday CoVaR | MV-CAViaR | Spot stock and index futures markets | Index-Futures | Index futures | China | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Risiko | Risk | ARCH-Modell | ARCH model | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ememar.2018.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012114983