Does uncertainty matter for US financial market volatility spillovers? : empirical evidence from a nonlinear Granger causality network
Tong Fang and Zhi Su
| Year of publication: |
2021
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| Authors: | Fang, Tong ; Su, Zhi |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 28.2021, 21, p. 1877-1883
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| Subject: | financial market network | nonlinear Granger causality | Uncertainty | volatility spillovers | Volatilität | Volatility | Kausalanalyse | Causality analysis | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | USA | United States | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression | Risiko | Risk | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2020.1854656 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012697702