Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
Year of publication: |
2015
|
---|---|
Authors: | Nishimura, Yusaku ; Tsutsui, Yoshirō ; Hirayama, Kenjiro |
Published in: |
Journal of the Japanese and international economies : an international journal ; JJIE. - Amsterdam [u.a.] : Elsevier, ISSN 0889-1583, ZDB-ID 626389-6. - Vol. 35.2015, p. 23-42
|
Subject: | Return/volatility spillover | China related stock index | High-frequency data | Intraday periodicity | Volatilität | Volatility | China | Spillover-Effekt | Spillover effect | Japan | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARCH-Modell | ARCH model | Aktienindex | Stock index |
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