Volatility spillover between Chinese stock market and selected emerging economies: a dynamic conditional correlation and portfolio optimization perspective

DOI10.1007/S10690-022-09381-9zbMath1521.91354OpenAlexW4308862769MaRDI QIDQ6054330

Miklesh Prasad Yadav, Sudhi Sharma, Indira Bhardwaj

Publication date: 28 September 2023

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-022-09381-9

zbMATH Keywords

causality volatility spillover portfolio diversification dynamic conditional correlation emerging economies

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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