Research on systemic risk contagion of Chinese financial institutions based on GARCH-VMD-Copula-CoVaR model
Tingting Zhang, Zhenpeng Tang, Xiaoxu Du and Linjie Zhan
| Year of publication: |
2022
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| Authors: | Zhang, Tingting ; Tang, Zhenpeng ; Du, Xiaoxu ; Zhan, Linjie |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 35.2022, 1,4, p. 4404-4424
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| Subject: | Financial institutions | risk contagion | VMD decomposition | Copula-CoVaR model | Ansteckungseffekt | Contagion effect | China | Finanzsektor | Financial sector | Systemrisiko | Systemic risk | Kreditrisiko | Credit risk | Bankenkrise | Banking crisis | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1331677X.2021.2013276 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014390453