Liu, Xiaoxing; Shehzad, Khurram - In: Journal of Applied Economics 26 (2023) 1, pp. 1-24
This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current...
