Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model
Cuixia Jiang, Yuqian Li, Qifa Xu, Yezheng Liu
| Year of publication: |
2021
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| Authors: | Jiang, Cuixia ; Li, Yuqian ; Xu, Qifa ; Liu, Yezheng |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 75.2021, p. 386-398
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| Subject: | CoVaR | GARCH | MIDAS | Risk spillovers | Vine copula | China | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Volatilität | Volatility | Messung | Measurement | Risikomaß | Risk measure | Finanzmarkt | Financial market | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2021.04.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012692552