Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Table 2

Correlations.

	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

, , .