Measuring contagion risk in high volatility state among Taiwanese major banks
EnDer Su
| Year of publication: |
August 2018
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|---|---|
| Authors: | Su, Ender |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 20.2018, 3, p. 185-241
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| Subject: | Contagion risk | Threshold GARCH | Copula | Tail dependence | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Taiwan | Bankrisiko | Bank risk | Risiko | Risk | Ausreißer | Outliers | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Bank | Statistische Verteilung | Statistical distribution | Bankenkrise | Banking crisis | Schätzung | Estimation | Börsenkurs | Share price | Messung | Measurement | Schock | Shock |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-018-0035-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011885900