Spreading of cross-market volatility information : evidence from multiplex network analysis of volatility spillovers
Jue Gong, Gang-Jin Wang, Yang Zhou, You Zhu, Chie Xie, Matteo Foglia
| Year of publication: |
2023
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|---|---|
| Authors: | Gong, Jue ; Wang, Gang-Jin ; Zhou, Yang ; Zhu, You ; Chi, Xie ; Foglia, Matteo |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 83.2023, p. 1-27
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| Subject: | Volatility spillover | Multiplex network | Information transmission | Investor sentiment | Variance risk premium | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Großbritannien | United Kingdom | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2023.101733 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014306328