Volatility Connectedness of Chinese Financial Institutions: Evidence from a Frequency Dynamics Perspective

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...

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Bibliographic Details
Main Authors: Yishi Li, Yongpin Ni, Hanxing Zheng, Linyi Zhou
Format: Article
Language:English
Published: MDPI AG 2023-10-01
Series:Systems
Subjects:
frequency volatility connectedness
Chinese financial institutions
financial regulation
LASSO-VAR
network estimation
Online Access:https://www.mdpi.com/2079-8954/11/10/502

Internet

https://www.mdpi.com/2079-8954/11/10/502

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