A time-varying copula approach for constructing a daily financial systemic stress index
Sook-Rei Tan, Changtai Li, Xiu Wei Yeap
| Year of publication: |
2022
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| Authors: | Tan, Sook-Rei ; Li, Changtai ; Yeap, Xiu Wei |
| 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. 1-20
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| Subject: | Copula | Financial crisis | Financial stress index | Systemic stress | Time-varying dependence | Finanzkrise | Multivariate Verteilung | Multivariate distribution | Systemrisiko | Systemic risk | Aktienindex | Stock index | Indexberechnung | Index construction |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101821 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014225802