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- W4310354429 endingPage "103545" @default.
- W4310354429 startingPage "103545" @default.
- W4310354429 abstract "COVID-19 has influenced financial markets drastically; however, this influence has received little attention, particularly in China. This study investigates risk spillovers across China's financial and shipping markets through dynamic spillover measures based on time-varying parameter vector autoregression and generalized forecast error variance decompositions. Stock, fund, and futures markets are identified as major risk senders, whereas other markets are identified as major risk receivers. Surprisingly, bonds, gold, and shipping are safe havens that facilitate portfolio optimization. Furthermore, using wavelet coherence analysis, we find that the coherence between dynamic total spillover and COVID-19 varies across time and frequency domains." @default.
- W4310354429 created "2022-12-09" @default.
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- W4310354429 date "2023-03-01" @default.
- W4310354429 modified "2023-10-14" @default.
- W4310354429 title "COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis" @default.
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- W4310354429 doi "https://doi.org/10.1016/j.frl.2022.103545" @default.
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