Liu, Qiang; Xu, Chen; Xie, Jane - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-20
Using the volatility spillover index method based on the quantile vector autoregression (QVAR) model, this paper systematically examines structural changes and corresponding spillover effects within 20 major stock markets under both extreme and normal market conditions, using data spanning from...
