Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets : comparing the impacts of three Stock Connect programs
Yinhong Yao, Jingyu Li, Wei Chen
| Year of publication: |
2024
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| Authors: | Yao, Yinhong ; Li, Jingyu ; Chen, Wei |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 89.2024, 1, p. 1217-1233
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| Subject: | Extreme risk spillover | Multiscale analysis | Stock connect program | Time-varying copula | Wavelet decomposition | Hongkong | Hong Kong | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Volatilität | Volatility | China | Börsenkurs | Share price | Risikomaß | Risk measure | Zustandsraummodell | State space model | Multivariate Verteilung | Multivariate distribution | Großbritannien | United Kingdom |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.08.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014446620