A time-varying copula approach for constructing a daily financial systemic stress index
Year of publication: |
2022
|
---|---|
Authors: | Tan, Sook-Rei ; Li, Changtai ; Yeap, Xiu Wei |
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. 1-20
|
Subject: | Copula | Financial crisis | Financial stress index | Systemic stress | Time-varying dependence | Finanzkrise | Multivariate Verteilung | Multivariate distribution | Indexberechnung | Index construction | Systemrisiko | Systemic risk |
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