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
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| Authors: | Zhang, Yi ; Zhou, Long ; Wu, Baoxiu ; Liu, Fang |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 73.2024, Art.-No. 102164, p. 1-14
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| 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 |
| 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