Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Qiang Ji, Bing-Yue Liu, Juncal Cunado, Rangan Gupta
| Year of publication: |
2020
|
|---|---|
| Authors: | Ji, Qiang ; Liu, Bing-Yue ; Cuñado Eizaguirre, Juncal ; Gupta, Rangan |
| 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. 51.2020, p. 1-15
|
| Subject: | CoVaR | G7 stock markets | Markov switching | Risk spillover | Time-varying copula | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | USA | United States | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Risiko | Risk | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012658792