The historical transition of return transmission, volatility spillovers, and dynamic conditional correlations: A fresh perspective and new evidence from the US, UK, and Japanese stock markets

The historical transition of return transmission, volatility spillovers, and dynamic conditional correlations: A fresh perspective and new evidence from the US, UK, and Japanese stock markets

This paper quantitatively investigated the historical transition of return transmission, volatility spillovers, and correlations between the US, UK, and Japanese stock markets. Applying a vector autoregressive (VAR)-dynamic conditional correlation (DCC)-multivariate exponential generalized autoregre...

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Bibliografiske detaljer
Hovedforfatter: Chikashi Tsuji
Format: Article
Sprog:English
Udgivet: AIMS Press 2024-06-01
Serier:Quantitative Finance and Economics
Fag:
brexit
covid-19
dcc
european debt crisis
historical transition
megarch
return transmission
var
volatility spillover
Online adgang:https://www.aimspress.com/article/doi/10.3934/QFE.2024016?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2024016?viewType=HTML

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