Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models
A. Do, R. Powell, J. Yong, A. Singh
| Year of publication: |
2020
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| Authors: | Do, A. ; Powell, Robert ; Yong, J. ; Singh, A. |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-26
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| Subject: | EGARCH | GFC | Global stock market | Leverage effect | Volatility spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | China | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Internationaler Finanzmarkt | International financial market | Schwellenländer | Emerging economies | Welt | World | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.101096 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012665495