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Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets 期刊论文
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 卷号: 59, 页码: 14
作者:  Jiang, Shangrong;  Li, Yuze;  Lu, Quanying;  Wang, Shouyang;  Wei, Yunjie
收藏  |  浏览/下载：133/0  |  提交时间：2022/04/02
Volatility spillover  Financial property  TVP-VAR model  Variational mode decomposition  Hypotheses testing  
Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2014, 卷号: 27, 期号: 4, 页码: 729-742
作者:  Zhou Pu;  Lu Fengbin;  Wang Shouyang
收藏  |  浏览/下载：112/0  |  提交时间：2021/01/14
STOCK INDEX  MODEL  China stock market  negative volatility spillover  nonlinear Granger causality test  risk absorption  volatility spillover