Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach
In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and downside value-at-risk. We document that the co...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
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| Series: | Systems |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-8954/11/4/207 |