Volatility spillovers from the Chinese stock market to economic neighbours
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Publication:2227449
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Cites work
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- An econometric analysis of asymmetric volatility: theory and application to patents
- Asymptotic theory for a vector ARMA-GARCH model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
- Generalized autoregressive conditional heteroscedasticity
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Cited in
(10)- Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
- Financial integration in the GCC region: market size versus national effects
- Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
- Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach
- Volatility spillover between Chinese stock market and selected emerging economies: a dynamic conditional correlation and portfolio optimization perspective
- Study on the time-varying volatility transmission between China's stock market and international stock markets based on ergodicity analysis of the Granger causality test
- The higher moments risk spillover effects among stock market industries: evidence from Chinese stock market
- Volatility spillover from the US to international stock markets: a heterogeneous volatility spillover GARCH model
- Correlations in returns and volatilities in Pacific-Rim stock markets
- Major drivers of China's stock market volatility during slowing economy
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