Spillovers from stock markets to currency markets : evidence from Copula-CoVar with time-varying higher moments
Muhammad Usman, Zaghum Umar, Mariya Gubareva and Dang Khoa Tran
| Year of publication: |
2023
|
|---|---|
| Authors: | Usman, Muhammad ; Umar, Zaghum ; Gubareva, Mariya ; Dang Khoa Tran |
| Subject: | CoVar | foreign exchange | higher moments | stock and currency markets | Systemic risk | Devisenmarkt | Foreign exchange market | Aktienmarkt | Stock market | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Welt | World | ARCH-Modell | ARCH model | Theorie | Theory | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2141455 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014381519