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Half-day trading and spillovers
This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional correlation (DCC) and asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models to calculate the time-varying correlations...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Singapore
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7887722/ http://dx.doi.org/10.1186/s11782-021-00097-7 |