Frequency heterogeneity of tail connectedness: Evidence from global stock markets
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DOI: 10.1016/j.econmod.2023.106354
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- Li, Hailing & Pei, Xiaoyun & Yang, Yimin & Zhang, Hua, 2024. "Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach," Energy Economics, Elsevier, vol. 132(C).
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- Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024. "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers 202422, University of Pretoria, Department of Economics.
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More about this item
Keywords
Tail connectedness; Frequency decomposition; Systemic risk; Global stock markets;All these keywords.
JEL classification:
- F65 - International Economics - - Economic Impacts of Globalization - - - Finance
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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