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Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade friction
Pan, Qunxing; Mei, Xiaowen; Gao, Tianqing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413579
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Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict
Pan, Qunxing; Sun, Yujia - In: Finance research letters 58 (2023) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10014583950
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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102