Regime-dependent volatility spillover asymmetry in Shanghai and Hong Kong stock markets with forecasting and portfolio inferences
Published: 10 September 2025| Version 2 | DOI: 10.17632/23263pm4zx.2
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Description
This dataset include the data and code for the paper of "Regime-dependent volatility spillover asymmetry in Shanghai and Hong Kong stock markets with forecasting and portfolio inferences", Primary analyses were conducted using WinRATS 10 and OxMetrics 9.
Files
Steps to reproduce
The research data include the data for the paper.
Institutions
- Shanghai University
Categories
Financial Forecasting, Portfolio Choice, Volatility, Regime Switching