Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Luo Changqing, Xie Chi, Yu Cong, Xu Yan
| Year of publication: |
December 2015
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| Authors: | Changqing, Luo ; Chi, Xie ; Cong, Yu ; Yan, Xu |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 657-671
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| Subject: | Risk contagion | Lower tail dependency | Dynamic Markov Regime Switching Copula | Dynamic correlation | Multivariate Verteilung | Multivariate distribution | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model | Schätzung | Estimation | Markov-Kette | Markov chain | Korrelation | Correlation | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Volatilität | Volatility | China | Risikomanagement | Risk management | Aktienmarkt | Stock market | Finanzkrise | Financial crisis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.09.021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011476241