Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model
Abstract Real estate’s role in the financial crisis has forced central banks and academics to focus on the real estate risk’s spillover effects. However, findings on this matter are erratic and could differ from country to country. Prior research mostly ignored risk contagion at the level of the rea...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Nature
2023-07-01
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| Series: | Humanities & Social Sciences Communications |
| Online Access: | https://doi.org/10.1057/s41599-023-01934-1 |