Research Article
Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach
| | NCSKEW | DUVOL | CF | E | SPR | DJIAR | SPV | DJIAV |
| NCSKEW | 1.000 | | | | | | | | DUVOL | 0.947 | 1.000 | | | | | | | CF | −0.003 | 0.039 | 1.000 | | | | | | E | −0.014 | 0.004 | 0.371 | 1.000 | | | | | SPR | −0.163 | −0.165 | 0.030 | −0.064 | 1.000 | | | | DJIAR | −0.180 | −0.180 | 0.034 | −0.089 | 0.956 | 1.000 | | | SPV | −0.004 | −0.006 | 0.145 | 0.128 | 0.030 | 0.030 | 1.000 | | DJIAV | −0.015 | −0.027 | 0.143 | 0.084 | −0.024 | −0.023 | 0.960 | 1.000 |
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