Duc Vo Hong; Nguyen, Hung Le-Phuc - In: Financial innovation : FIN 10 (2024), pp. 1-29
risk and signifcant spillovers. This study investigates market risk spillovers and explores the asymmetric efects of … macroeco‑ nomic indicators on market risk across 24 sectors in Vietnam from 2012 to 2022. We use the value-at-risk (VaR … then examine the asym‑ metric efects of macroeconomic indicators on market risk using a panel nonlinear autoregressive …