Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period
Ahmed Ghorbel, Mohamed Fakhfekh, Ahmed Jeribi and Amine Lahiani
| Year of publication: |
2022
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|---|---|
| Authors: | Ghorbel, Ahmed ; Fakhfekh, Mohamed ; Jeribi, Ahmed ; Lahiani, Amine |
| Published in: |
The journal of risk finance : JRF. - Bradford : Emerald, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 23.2022, 2, p. 206-244
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| Subject: | ADCC-GARCH model | COVID-19 | G7 stock market indices | Kolmogorov-Smirnov test | Risk spillover | Coronavirus | China | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | Volatilität | Volatility | ARCH-Modell | ARCH model | Börsenkurs | Share price | Epidemie | Epidemic | Risiko | Risk | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/JRF-11-2021-0179 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013370537