Extreme risk spillovers across financial markets under different crises
Yufei Cao
| Year of publication: |
2022
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|---|---|
| Authors: | Cao, Yufei |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 116.2022, p. 1-19
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| Subject: | Extreme risk spillovers | Extreme financial events | Peak-over-threshold models | Value at risk | Conditional value at risk | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect | Theorie | Theory | Finanzmarkt | Financial market | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Volatilität | Volatility | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2022.106026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014512465