Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas
Jose E. Gomez-Gonzalez, Wilmer Rojas-Espinosa
| Year of publication: |
2019
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|---|---|
| Authors: | Gómez González, José Eduardo ; Rojas-Espinosa, Wilmer |
| Published in: |
Economic systems. - Amsterdam [u.a.] : Elsevier, ISSN 0939-3625, ZDB-ID 1072886-7. - Vol. 43.2019, 3/4, p. 1-12
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| Subject: | Exchange rate contagion | Asian financial crisis | Copula functions | DCC-GARCH models | Multivariate Verteilung | Multivariate distribution | Wechselkurs | Exchange rate | Finanzkrise | Financial crisis | Asien | Asia | Währungskrise | Currency crisis | Ansteckungseffekt | Contagion effect | ARCH-Modell | ARCH model | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ecosys.2019.100717 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314692