Xu, Xin; Huang, Shupei; Lucey, Brian M.; Haizhong, An - 2022
, volatility, correlation and tail dependence of China’s and US stock markets are investigated and compared by adopting GARCH (1 …) For China, high CPU decreases current stock market return and increases volatility but decreases it in the future. It … volatility in short term, decreases volatility in 5 months and increases it again after 6 months. Both low and high CPU could …
