Volatility Connectedness of Chinese Financial Institutions: Evidence from a Frequency Dynamics Perspective
Accurately measuring systemic financial risk and analyzing its sources are important issues. This study focuses on the frequency dynamics of volatility connectedness in Chinese financial institutions using a spectral representation framework of generalized forecast error variance decomposition with...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-10-01
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Series: | Systems |
Subjects: | |
Online Access: | https://www.mdpi.com/2079-8954/11/10/502 |