Tail risk transmission from the United States to emerging stock Markets : empirical evidence from multivariate quantile analysis
Yi Zhang, Long Zhou, Baoxiu Wu, Fang Liu
| Year of publication: |
2024
|
|---|---|
| Authors: | Zhang, Yi ; Zhou, Long ; Wu, Baoxiu ; Liu, Fang |
| Subject: | BRICS markets | Extreme risk contagion | Multivariate quantile models | Pseudo-impulse-response functions | USA | United States | Aktienmarkt | Stock market | Multivariate Analyse | Multivariate analysis | Risiko | Risk | Schwellenländer | Emerging economies | Volatilität | Volatility | Schätzung | Estimation | ARCH-Modell | ARCH model | Ansteckungseffekt | Contagion effect | Risikomaß | Risk measure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102164 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014580778