The impact of VIX on China’s financial market : a new perspective based on high-dimensional and time-varying methods
Bin-xia Chen, Yan-lin Sun
| Year of publication: |
2022
|
|---|---|
| Authors: | Chen, Bin-xia ; Sun, Yan-lin |
| 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. 63.2022, p. 1-13
|
| Subject: | China’s financial sub-markets | FAVAR | Non-linear Granger | TVP-FAVAR-SV | VIX | China | Finanzmarkt | Financial market | Volatilität | Volatility | Börsenkurs | Share price | 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.najef.2022.101831 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014225810