Dynamic correlation and risk contagion between "black" futures in China : a multi-scale variational mode decomposition approach
Qunwei Wang, Xingyu Dai, Dequn Zhou
| Year of publication: |
2020
|
|---|---|
| Authors: | Wang, Qunwei ; Dai, Xingyu ; Zhou, Dequn |
| Subject: | Futures market | Risk contagion | Dynamic correlation | DCC-GARCH | Variational mode decomposition | Korrelation | Correlation | China | Dekompositionsverfahren | Decomposition method | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9857-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012223704