A novel estimation of time-varying quantile correlation for financial contagion detection
Wuyi Ye, Mingge Li, Yuehua Wu
| Year of publication: |
2022
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| Authors: | Ye, Wuyi ; Li, Mingge ; Wu, Yuehua |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 63.2022, p. 1-24
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| Subject: | Contagion effect | Financial crisis | Local polynomial estimation | Quantile correlation | Finanzkrise | Ansteckungseffekt | Korrelation | Correlation | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101796 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014225731