Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade friction
Qunxing Pan, Xiaowen Mei, Tianqing Gao
| Year of publication: |
2022
|
|---|---|
| Authors: | Pan, Qunxing ; Mei, Xiaowen ; Gao, Tianqing |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 59.2022, p. 1-18
|
| Subject: | Dynamic conditional correlation | Leverage effect | Return long memory | Sino-US trade friction | Spillover effect | Time difference | Volatilität | Volatility | Aktienmarkt | Stock market | Spillover-Effekt | USA | United States | China | ARCH-Modell | ARCH model | Korrelation | Correlation | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101591 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013413579