Volatility connectedness and market dependence across major financial markets in China economy
Year of publication: |
2021
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Authors: | Liow, Kim Hiang ; Song, Jeongseop ; Zhou, Xiaoxia |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 5.2021, 3, p. 397-420
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Subject: | volatility connectedness | spillover transmissions nonlinear causal dependence | market dependence | impulse response functions | China economy | Volatilität | Volatility | China | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Kausalanalyse | Causality analysis |
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