Tail risk spillovers among Chinese stock market sectors
Year of publication: |
2024
|
---|---|
Authors: | Ouyang, Minhua ; Xiao, Hailian |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 62.2024, 2, Art.-No. 105233, p. 1-9
|
Subject: | CAViaR model | Chinese stock market | Tail risk spillovers | TVP-VAR connectedness approach | Aktienmarkt | Stock market | China | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Risikomaß | Risk measure |
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