Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy

Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy

This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of th...

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Bibliographic Details
Main Authors: Yijiang Zou, Qinghua Chen, Jihui Han, Mingzhong Xiao
Format: Article
Language:English
Published: MDPI AG 2025-01-01
Series:Entropy
Subjects:
RCEP stock markets
risk spillover effect
TVP-VAR model
transfer entropy
Online Access:https://www.mdpi.com/1099-4300/27/1/81
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