COVID-19 and risk spillovers of China's major financial markets : evidence from time-varying variance decomposition and wavelet coherence analysis
Qiwei Xie, Lu Cheng, Ranran Liu, Xiaolong Zheng, Jingyu Li
| Year of publication: |
2023
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|---|---|
| Authors: | Xie, Qiwei ; Cheng, Lu ; Liu, Ranran ; Zheng, Xiaolong ; Li, Jingyu |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 52.2023, p. 1-9
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| Subject: | China's financial markets | COVID-19 | Generalized forecast error variance decompositions | Risk spillovers | Wavelet coherence analysis | China | Coronavirus | Finanzmarkt | Financial market | Prognoseverfahren | Forecasting model | Spillover-Effekt | Spillover effect | Zustandsraummodell | State space model | Volatilität | Volatility | Dekompositionsverfahren | Decomposition method | Varianzanalyse | Analysis of variance | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103545 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472112