Dynamic linkages and higher moments risk connectedness among international stock markets

MaRDI QIDQ5017253zbMATH OpenFDO

Authors Jinxin Cui, Hui Wen Zou

Publication date 17 December 2021

zbMATH Keywords

international stock marketsdynamic linkageshigher moments risk connectednessportfolio effectiveness evaluation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• The higher moments risk spillover effects among stock market industries: evidence from Chinese stock market
• Dynamic correlations among Shanghai, Shenzhen and Hong Kong stock markets: based on DCC-MIDAS model
• Volatility spillover between Chinese stock market and selected emerging economies: a dynamic conditional correlation and portfolio optimization perspective
• International market links and volatility transmission
• Cojumps and asset allocation in international equity markets

Cited in

(1)

• The higher moments risk spillover effects among stock market industries: evidence from Chinese stock market

This page was built for publication: Dynamic linkages and higher moments risk connectedness among international stock markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5017253)