Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting

Open Access

Peer-reviewed

Research Article

About the Authors

Jin Zeng

Roles Conceptualization, Data curation, Investigation, Methodology, Writing – original draft, Writing – review & editing

Affiliation Business School, Guangzhou College of Technology and Business, Guangzhou, China

Jingwen Wu

Roles Conceptualization, Data curation, Writing – original draft, Writing – review & editing

Affiliation Business School, Guangzhou College of Technology and Business, Guangzhou, China

The authors have declared that no competing interests exist.

Financial markets
Is the Subject Area "Financial markets" applicable to this article?

Thanks for your feedback.
Finance
Is the Subject Area "Finance" applicable to this article?

Thanks for your feedback.
Forecasting
Is the Subject Area "Forecasting" applicable to this article?

Thanks for your feedback.
Structure of markets
Is the Subject Area "Structure of markets" applicable to this article?

Thanks for your feedback.
Risk management
Is the Subject Area "Risk management" applicable to this article?

Thanks for your feedback.
Covariance
Is the Subject Area "Covariance" applicable to this article?

Thanks for your feedback.
Virus testing
Is the Subject Area "Virus testing" applicable to this article?

Thanks for your feedback.
Systematic reviews
Is the Subject Area "Systematic reviews" applicable to this article?

Thanks for your feedback.