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Multiscale Spillover Transmission in Chinas Investment Preferences Using Dynamic Stochastic Volatility Framework |
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PP: 3283-3298 |
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doi:10.18576/isl/120752
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Author(s) |
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Li. Yu,
Mohd H. Yaacob,
Du Buqi,
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Abstract |
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| This paper aims to understand how volatility spreads in the financial system and affects security markets and financial crises. The researchers introduced a new approach using a multivariate stochastic volatility model with dynamic correlation and maximum overlap discrete wavelet. The approach can distinguish investment types and describe nonlinear volatility dynamics. Empirical analysis showed significant volatility spillovers between financial time series at different wavelet scales. Short-term investments had higher volatility spillovers than long-term investments, suggesting an interactive relationship between retail investors and long-term institutions and a shift from technology operations to value simulation.
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