Stock market interdependence between China and the world: A multi-factor R-squared approach
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- Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators," Finance Research Letters, Elsevier, vol. 17(C), pages 158-166.
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- Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
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More about this item
KeywordsMarket interdependence; Principal component analysis; Multi-factor R-squared;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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