Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

AbstractSince portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US marke...

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Bibliographic Details
Main Author: Heitham Al-Hajieh
Format: Article
Language:English
Published: Taylor & Francis Group 2023-12-01
Series:Cogent Economics & Finance
Subjects:
Asia Pacific stock markets
financial market contagion
directional spillover index
hedging equity portfolios
DECO-GARCH model
C58
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2023.2173124

Internet

https://www.tandfonline.com/doi/10.1080/23322039.2023.2173124

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