Comovement between the Chinese Business Cycle and Financial Volatility: Based on a DCC-MIDAS Model
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DOI: 10.1080/1540496x.2019.1620100
Abstract: ABSTRACT In this paper, we investigate the comovement between the Chinese business cycle and financial variables from 1994 to 2017 using a dynamic conditional correlation-mixed data sample (DCC-MIDAS) model. We analyze the relation and contagion… read more here.
Keywords: business cycle; cycle financial; financial volatility;