Does high volatility increase connectedness? A study of Asian equity markets
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DOI: 10.1016/j.irfa.2024.103735
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More about this item
Keywords
Asia; Connectedness; Contagion; Market integration; Spillovers; Stock market; Variance decomposition; Volatility;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
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