The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Maoxi Tian, Rim El Khoury, Muneer M. Alshater
| Year of publication: |
2023
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|---|---|
| Authors: | Tian, Maoxi ; El Khoury, Rim ; Alshater, Muneer Maher |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 82.2023, p. 1-28
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| Subject: | Systemic risk spillover | Emerging economies | CoVaR | Copula quantile regression model | GARCH copula model | Schwellenländer | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | Systemrisiko | Systemic risk | Statistische Verteilung | Statistical distribution | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101712 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014246021