Volatility Spillover and Forecasting in Stock Markets
Volatility spillover across Shanghai, Hong Kong, and U.S. stock markets varies over time and regime, suggesting traditional forecast models could be improved by considering these factors.
Featured in No. 36 on 7 Feb 2024 · on release day
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- 7 Feb 2024
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- No. 36 · 7 Feb 2024
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- RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004805
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