Spillovers from stock markets to currency markets : evidence from Copula-CoVar with time-varying higher moments
Year of publication: |
2023
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Authors: | Usman, Muhammad ; Umar, Zaghum ; Gubareva, Mariya ; Dang Khoa Tran |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 52, p. 6091-6114
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Subject: | CoVar | foreign exchange | higher moments | stock and currency markets | Systemic risk | Devisenmarkt | Foreign exchange market | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | Theorie | Theory | Schätzung | Estimation | Volatilität | Volatility | ARCH-Modell | ARCH model |
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Stock and currency market linkages : new evidence from realized spillovers in higher moments
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