The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Lin Wen Sheng, Gazi Salah Uddin, Ding Sen, Zhu Shi Hao
| Year of publication: |
2024
|
|---|---|
| Authors: | Sheng, Lin Wen ; Uddin, Mohammed Gazi Salah ; Sen, Ding ; Hao, Zhu Shi |
| Subject: | Forecast | Regime switching | Spillover asymmetry | Volatility | Volatilität | Hongkong | Hong Kong | USA | United States | Spillover-Effekt | Spillover effect | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Shanghai | ARCH-Modell | ARCH model | Aktienindex | Stock index | Schätzung | Estimation | VAR-Modell | VAR model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102964 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014446963