Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis

Changqing Luo, Lan Liu, Da Wang

Year of publication:	2021
Authors:	Changqing, Luo ; Liu, Lan ; Wang, Da
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. 58.2021, p. 1-24
Subject:	Conditional Value-at-Risk \| Dynamic Copula models \| Empirical mode decomposition \| Multiscale financial risk \| Risk contagion \| Risikomaß \| Risk measure \| Ansteckungseffekt \| Contagion effect \| Multivariate Verteilung \| Multivariate distribution \| Portfolio-Management \| Portfolio selection \| Internationaler Finanzmarkt \| International financial market \| Aktienmarkt \| Stock market \| Risiko \| Risk \| Finanzrisiko \| Financial risk \| Risikomanagement \| Risk management \| Börsenkurs \| Share price \| Finanzmarkt \| Financial market \| Deutschland \| Germany \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Schätzung \| Estimation

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.najef.2021.101512 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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