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Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting
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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
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Jingwen Wu
Roles Conceptualization, Data curation, Writing – original draft, Writing – review & editing
* E-mail: wujingwen@gzgs.edu.cn
Affiliation Business School, Guangzhou College of Technology and Business, Guangzhou, China
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https://orcid.org/0009-0003-8633-8685
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting
- Jin Zeng,
- Jingwen Wu
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- Published: October 17, 2025
- https://doi.org/10.1371/journal.pone.0333794