Volatility spillovers from the Chinese stock market to economic neighbours
From MaRDI portal
Publication:2227449
DOI10.1016/J.MATCOM.2013.01.001zbMath1499.91182OpenAlexW2001590113MaRDI QIDQ2227449
David E. Allen, Michael McAleer, Ron Amram
Publication date: 15 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://eprints.ucm.es/49351/1/1138.pdf
Cites Work
- An econometric analysis of asymmetric volatility: theory and application to patents
- Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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