Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models
Year of publication: |
2020
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Authors: | Do, A. ; Powell, Robert ; Yong, J. ; Singh, A. |
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. 54.2020, p. 1-26
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Subject: | EGARCH | GFC | Global stock market | Leverage effect | Volatility spillover | Volatilität | Volatility | China | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Welt | World | Internationaler Finanzmarkt | International financial market | Finanzkrise | Financial crisis | Globalisierung | Globalization | Börsenkurs | Share price |
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