Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Due to the increasing linkage of China and the US stock markets today, we constructed a TVP-VAR model to study the dynamic spillover effects between the US stock volatility and China’s stock market crash risk. We found dynamic spillover effects are constantly strengthening between US stock volatilit...

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Veröffentlicht in:	Mathematical problems in engineering 2021, Vol.2021, p.1-12
Hauptverfasser:	Zhang, Ping, Gao, Jieying, Zhang, Yanbin, Wang, Te-Wei
Format:	Artikel
Sprache:	eng
Schlagworte:	Depreciation Dow Jones averages Foreign exchange rates International finance Investments Literature reviews Outflow Risk Risk premiums Securities markets Stock exchanges Stock market crashes Volatility
Online-Zugang:	Volltext
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