Quantifying the international stock market risk spillover : an analysis based on G-expectation upper variances
Yi Cai, Zhenpeng Tang, Kaijie Chen, Dinggao Liu
| Year of publication: |
2023
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|---|---|
| Authors: | Cai, Yi ; Tang, Zhenpeng ; Chen, Kaijie ; Liu, Dinggao |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-7
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| Subject: | Connectedness approach | Dynamic analysis | G-expectation theory | Upper variance spillover | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104346 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014581642