Global financial crisis effects on volatility spillover between Mainland China and Hong Kong stock markets
Year of publication: |
2015
|
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Authors: | Zhang, Qiang ; Jaffry, Shabbar |
Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 12.2015, 1, p. 26-34
|
Subject: | global financial crisis | volatility spillover | asymmetric BEKK-GARCH | VAR approach | American | Mainland China and Hong Kong stock markets | Hongkong | Hong Kong | Finanzkrise | Financial crisis | China | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Internationaler Finanzmarkt | International financial market |
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