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Sector connectedness in the Chinese stock markets

Shen, Ying-Ying; Jiang, Zhi-Qiang; Ma, Jun-Chao; Wang, … - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 825-852

Persistent link: https://www.econbiz.de/10012819494

Extreme risk spillover effects in world gold markets and the global financial crisis

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: International review of economics & finance : IREF 46 (2016), pp. 55-77

Persistent link: https://www.econbiz.de/10011626706

Who are the net senders and recipients of volatility spillovers in China's financial markets?

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: Finance research letters 18 (2016), pp. 255-262

Persistent link: https://www.econbiz.de/10011657061

Factor volatility spillover and its implications on factor premia

Shi, Huai-Long; Zhou, Wei-Xing - In: Journal of international financial markets, … 80 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013533171

Factor Volatility Spillover and Its Implications on Factor Premia

Shi, Huai-Long; Zhou, Wei-Xing - 2022

We employ the generalized forecast error variance decomposition based on the vector autoregression model to investigate factors' volatility spillovers. Furthermore, we investigate the relationship between factor volatility spillovers and their premia via the portfolio analysis. We find: (1)...

Persistent link: https://www.econbiz.de/10014236578

Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change

Yang, Yan-Hong; Shao, Ying-Hui; Zhou, Wei-Xing - In: Finance research letters 71 (2025), pp. 1-11

Persistent link: https://www.econbiz.de/10015196957

The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots

Zhou, Wei-Xing; Dai, Yun-Shi; Duong, Kiet Tuan; Dai, … - In: Journal of economic behavior & organization 217 (2024), pp. 91-111

Persistent link: https://www.econbiz.de/10014552743

Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework

Xu, Hai-Chuan; Jawadi, Fredj; Zhou, Jie; Zhou, Wei-Xing - In: Empirical economics : a quarterly journal of the … 65 (2023) 1, pp. 93-110

Persistent link: https://www.econbiz.de/10014329036

Uncovering the Sino-US dynamic risk spillovers effects : evidence from agricultural futures markets

Zhu, Han-Yu; Dai, Peng-Fei; Zhou, Wei-Xing - In: The journal of futures markets 44 (2024) 12, pp. 1888-1910

Persistent link: https://www.econbiz.de/10015110748

Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets

Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - In: Journal of international financial markets, … 88 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014482970