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Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors
期刊论文
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS, 2023, 卷号: 10, 期号: 1, 页码: 269-284
作者:
Li, Jingyu
;
Cheng, Lu
;
Zheng, Xiaolong
;
Wang, Fei-Yue
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2023/11/17
COVID-19
financial and economic system
network analysis
stock volatility spillover
variational mode decomposition (VMD)
Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets
期刊论文
APPLIED ECONOMICS, 2022, 页码: 17
作者:
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2023/02/07
Volatility risk
risk-neutral skewness
options
cross-sectional regression
asymmetry
Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network
期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 卷号: 78, 页码: 81-94
作者:
Huang, Chuangxia
;
Zhao, Xian
;
Deng, Yunke
;
Yang, Xiaoguang
;
Yang, Xin
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  |  
浏览/下载:18/0
  |  
提交时间:2022/04/02
Complex network
Chinese energy stock market
High-frequency data
Jump volatility
Entropy weight TOPSIS
Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets
期刊论文
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 卷号: 59, 页码: 14
作者:
Jiang, Shangrong
;
Li, Yuze
;
Lu, Quanying
;
Wang, Shouyang
;
Wei, Yunjie
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2022/04/02
Volatility spillover
Financial property
TVP-VAR model
Variational mode decomposition
Hypotheses testing
Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
期刊论文
ENERGY ECONOMICS, 2022, 卷号: 117
作者:
Luo, Jiawen
;
Marfatia, Hardik A.
;
Ji, Qiang
;
Klein, Tony
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  |  
浏览/下载:0/0
  |  
提交时间:2023/05/30
Futures markets
MHAR-CSV model
Co-volatility
Time-varying volatility connectedness
Asymmetric volatility spillover
Commodity markets
Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions
期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 页码: 13
作者:
Yang, Xin
;
Chen, Shan
;
Liu, Hong
;
Yang, Xiaoguang
;
Huang, Chuangxia
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  |  
浏览/下载:13/0
  |  
提交时间:2021/04/26
Financial institution network
jump volatility
panel data regression model
Brexit and Its Impact on the US Stock Market
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 页码: 19
作者:
Qiao Kenan
;
Liu Zhengyang
;
Huang Bai
;
Sun Yuying
;
Wang Shouyang
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  |  
浏览/下载:12/0
  |  
提交时间:2021/04/26
Brexit
interval time series
intra-day volatility
S&P500 index
Dynamic network topology and market performance: A case of the Chinese stock market
期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2020, 页码: 17
作者:
Huang, Chuangxia
;
Zhao, Xian
;
Su, Renli
;
Yang, Xiaoguang
;
Yang, Xin
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浏览/下载:62/0
  |  
提交时间:2020/11/18
Chinese stock market
complex network
financial crises
market performance
minimum spanning tree
Uncertainty shocks of Trump election in an interval model of stock market
期刊论文
QUANTITATIVE FINANCE, 2020, 页码: 15
作者:
Sun, Yuying
;
Qiao, Kenan
;
Wang, Shouyang
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2021/01/14
Interval dummy variables
Interval time series
Nonlinear minimum-distance estimator
Range volatility
Trump election
Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review
期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 15
作者:
Yang, Xin
;
Zhao, Xian
;
Gong, Xu
;
Yang, Xiaoguang
;
Huang, Chuangxia
收藏
  |  
浏览/下载:27/0
  |  
提交时间:2020/09/23
financial institution
complex network
jump volatility
entropy weight TOPSIS
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