GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Can-Zhong Yao, Min-Jian Li
| Year of publication: |
2023
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|---|---|
| Authors: | Yao, Can-Zhong ; Li, Min-Jian |
| 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. 66.2023, p. 1-13
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| Subject: | Copula | CoVaR | Financial risk | GARCH-MIDAS | GAS | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Risikomaß | Risk measure | Finanzmarkt | Financial market | Spillover-Effekt | Spillover effect | Theorie | Theory | Finanzrisiko | Risikomanagement | Risk management | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2023.101910 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014483642