Volatility spillovers during the Chinese stock market crisis : a MEM-based approach
Year of publication: |
2022
|
---|---|
Authors: | Chen, Hua ; Tarzia, Domenico ; Vittorino, Giovanni ; Gregoriou, Andros |
Published in: |
Review of Pacific Basin financial markets and policies : RPBFMP. - Singapore : World Scientific, ZDB-ID 2033638-X. - Vol. 25.2022, 4, Art.-No. 2250031, p. 1-30
|
Subject: | Financial contagion | multiplicative-error model | volatility spillover balance | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | China | Aktienmarkt | Stock market | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model |
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