Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Fahim Afzal, Tonmoy Toufic Choudhury and Muhammad Kamran
| Year of publication: |
2023
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|---|---|
| Authors: | Afzal, Fahim ; Choudhury, Tonmoy ; Kamran, Muhammad |
| Published in: |
International journal of Islamic and Middle Eastern finance and management. - Bingley : Emerald, ISSN 1753-8408, ZDB-ID 2423843-0. - Vol. 16.2023, 1, p. 59-80
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| Subject: | Copula | Financial risk | Value-at-risk | Volatility spillover | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Pakistan | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Shanghai | Aktienmarkt | Stock market | Korrelation | Correlation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/IMEFM-07-2021-0274 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339621