A new view of risk contagion by decomposition of dependence structure : Empirical analysis of Sino-US stock markets
Yanting Zheng, Xin Luan, Xin Lu, Jiaming Liu
| Year of publication: |
2023
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|---|---|
| Authors: | Zheng, Yanting ; Luan, Xin ; Xin, Lu ; Liu, Jiaming |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-19
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| Subject: | Comonotonicity | Dependence structure | Patched Bivariate Fréchet copula | Risk contagion | Multivariate Verteilung | Multivariate distribution | Ansteckungseffekt | Contagion effect | Aktienmarkt | Stock market | Theorie | Theory | Risiko | Risk | Schätzung | Estimation | USA | United States | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102920 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014470629