Multi-scale dependence and risk contagion among international financial markets based on VMD-Vine copula-CoVaR
Jia Wang, Xinzhu Yan, Yuan Cao and Xu Wang
| Year of publication: |
2025
|
|---|---|
| Authors: | Wang, Jia ; Yan, Xinzhu ; Cao, Yuan ; Wang, Xu |
| Subject: | International stock markets;risk spillover | Vine copula | variational mode decomposition | ΔCoVaR | Internationaler Finanzmarkt | International financial market | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Ansteckungseffekt | Contagion effect | Welt | World | Spillover-Effekt | Spillover effect | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2024.2305615 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015192442