Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Yang (Greg) Hou, Steven Li
| Year of publication: |
2020
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|---|---|
| Authors: | Hou, Yang ; Li, Steven |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 66.2020, p. 166-188
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| Subject: | Volatility spillover | Skewness spillover | GARCH model | Skewed Student's t distribution | Chinese stock market crash | Chinese stock index futures | Volatilität | Volatility | China | Index-Futures | Index futures | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2019.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390715