Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective.
In this article, to model risk contagion between the U.S. and China stock markets based on high-frequency financial data, we develop a novel continuous-time jump-diffusion process. For example, we consider three channels for volatility contagion—such as integrated volatility, positive jump variation...
| Publicado en: | Journal of Financial Econometrics Vol. 22; no. 4; pp. 954 - 1006 |
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| Autores principales: | , |
| Formato: | Artículo |
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Oxford University Press / USA
Fall2024
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| Acceso en línea: | Ver este registro en EBSCOhost |