Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management
Chikashi Tsuji
| Year of publication: |
2020
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|---|---|
| Authors: | Tsuji, Chikashi |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 70.2020, p. 1-31
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| Subject: | DCC-MGARCH model | Financial risk management | International banking sector | Return transmission | Systemic risk | Volatility spillover | Risikomanagement | Risk management | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Internationale Bank | International bank | Bankrisiko | Bank risk | Korrelation | Correlation | USA | United States | Systemrisiko | Kapitaleinkommen | Capital income | Finanzrisiko | Financial risk | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.101392 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012318292