Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine volatility spillover relations, we combine a bivariate GARCH-BEKK model with complex network theory. Specifically, we construct a volatility netwo...

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Detalles Bibliográficos
Autores principales: Korkusuz, Burak, McMillan, David G., Kambouroudis, Dimos
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9463059/
https://www.ncbi.nlm.nih.gov/pubmed/36106329
http://dx.doi.org/10.1007/s00181-022-02290-w

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9463059/
https://www.ncbi.nlm.nih.gov/pubmed/36106329
http://dx.doi.org/10.1007/s00181-022-02290-w

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