Risk spillover analysis of China's financial sectors based on a new GARCH Copula quantile regression model
Maoxi Tian, Fei Guo, Rong Niu
| Year of publication: |
2022
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|---|---|
| Authors: | Tian, Maoxi ; Guo, Fei ; Niu, Rong |
| 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. 63.2022, p. 1-25
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| Subject: | Copula quantile regression | CoVaR | Risk spillover effect | Systemic risk | China | Multivariate Verteilung | Multivariate distribution | Regressionsanalyse | Regression analysis | Spillover-Effekt | Spillover effect | Systemrisiko | Risikomanagement | Risk management | Risiko | Risk | Risikomaß | Risk measure | Finanzsektor | Financial sector | Volatilität | Volatility | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Ansteckungseffekt | Contagion effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101817 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014225784