Dynamic correlations among Shanghai, Shenzhen and Hong Kong stock markets: based on DCC-MIDAS model

MaRDI QIDQ3175741zbMATH OpenFDO

Authors Yaozhi Yao, Zhifeng Liu

Publication date 18 July 2018

zbMATH Keywords

dynamic correlationmixed frequencyco-movement

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Dynamic linkages and higher moments risk connectedness among international stock markets
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