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Risk spillover from international financial markets and China's macro-economy : a MIDAS-CoVaR-QR model

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Spillover effect of US monetary policy to ASEAN stock markets : evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin finance journal 26 (2014), pp. 145-155

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Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach

Yang, Lu; Yang, Lei; Ho, Kung-Cheng; Hamori, Shigeyuki - In: Journal of Asian economics 68 (2020)

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Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe

Yang, Lu - In: Journal of commodity markets 25 (2022), pp. 1-17

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Systemic risk and idiosyncratic networks among global systemically important banks

Cui, Xue; Yang, Lu - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 58-75

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Adding "things" to the internet : exploring the spillover effect of technology acceptance

Lu, Yang; Papagiannidis, Savvas; Alamanos, Eleftherios - In: Journal of marketing management : JMM ; journal of the … 37 (2021) 7/8, pp. 626-650

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Spatial linkage of volatility spillovers and its explanation across G20 stock markets : a network framework

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Spatial spillover effects and risk contagion around G20 stock markets based on volatility network

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Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

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Dependence Structures and Risk Spillover in China’s Credit Bond Market : A Copula-CoVaR Approach

Lu, Yang; Yang, Lia; Ho (何), Kung-Cheng (恭政); … - 2023

This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30 years. Using daily data on credit spreads for the period December 28, 2009 to June 2, 2017, the...

Persistent link: https://www.econbiz.de/10014265098