A novel estimation of time-varying quantile correlation for financial contagion detection
Wuyi Ye, Mingge Li, Yuehua Wu
Year of publication: |
2022
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Authors: | Ye, Wuyi ; Li, Mingge ; Wu, Yuehua |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 63.2022, p. 1-24
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Subject: | Contagion effect | Financial crisis | Local polynomial estimation | Quantile correlation | Finanzkrise | Korrelation | Correlation | Ansteckungseffekt | Schätzung | Estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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