The Risk Spillover Effects and Network Connectedness Between Real Estate and Other Sectors in China
Using a high-dimensional time-varying parameter vector autoregression framework, we propose a volatility spillover network to analyze risk contagion direction, path, and intensity under supply-demand relationships when important events break out in the real estate market. We characterize daily retur...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2024-04-01
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| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440241240866 |