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RePEcDerivatives & Volatility

Volatility Spillover and Forecasting in Stock Markets

Volatility spillover across Shanghai, Hong Kong, and U.S. stock markets varies over time and regime, suggesting traditional forecast models could be improved by considering these factors.

Featured in No. 36 on 7 Feb 2024 · on release day

Released
7 Feb 2024
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No. 36 · 7 Feb 2024
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Identifier
RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004805

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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