Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach

Financial internationalization leads to similar fluctuations and spillover effects in financial markets around the world, resulting in cross-border financial risks. This study examines comovements across G20 international stock markets while considering the volatility similarity and spillover effect...

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Bibliographic Details
Main Authors: Shanglei Chai, Zhen Zhang, Mo Du, Lei Jiang
Format: Article
Language:English
Published: Wiley 2020-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2020/8872307
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