Volatility connectedness and market dependence across major financial markets in China economy

Volatility connectedness and market dependence across major financial markets in China economy

With the increasing openness of the China economy, the goal of this paper is to examine volatility connectedness and spillover transmissions across markets for stock, public real estate, bond, commodity futures, and foreign exchange within the China economy. Over the full study period, we find that...

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Bibliographic Details
Main Authors: Kim Hiang Liow, Jeongseop Song, Xiaoxia Zhou
Format: Article
Language:English
Published: AIMS Press 2021-05-01
Series:Quantitative Finance and Economics
Subjects:
volatility connectedness
spillover transmissions nonlinear causal dependence
market dependence
impulse response functions
china economy
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2021018?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2021018?viewType=HTML

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