Quantifying the international stock market risk spillover : an analysis based on G-expectation upper variances
Year of publication: |
2023
|
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Authors: | Cai, Yi ; Tang, Zhenpeng ; Chen, Kaijie ; Liu, Dinggao |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-7
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Subject: | Connectedness approach | Dynamic analysis | G-expectation theory | Upper variance spillover | Theorie | Theory | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
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