Extreme dependence and risk spillovers across north american equity markets
Evan Warshaw
| Year of publication: |
2019
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|---|---|
| Authors: | Warshaw, Evan |
| 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. 47.2019, p. 237-251
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| Subject: | Conditional value-at-risk | Dynamic copulas | Equity prices | Risk spillovers | Tail dependence | Value-at-risk | Spillover-Effekt | Spillover effect | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Volatilität | Volatility | Aktienindex | Stock index | Aktienmarkt | Stock market | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012117855