Kazi Sohag; Vasilyeva, Rogneda; Urazbaeva, Alina; … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-15
Given the importance of stock market synchronization for international portfolio diversification, we estimate the degrees of co-movements among US, Chinese and Russian markets. By applying the TVP-VAR approach, we measure total and bivariate synchronization indices utilizing daily data from 1998...
