GARCH copula quantile regression model for risk spillover analysis
Maoxi Tian, Hao Ji
| Year of publication: |
2022
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|---|---|
| Authors: | Tian, Maoxi ; Ji, Hao |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 44.2022, p. 1-9
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| Subject: | Copula quantile regression model | CoVaR | GARCH copula model | Systemic risk spillover | Multivariate Verteilung | Multivariate distribution | Regressionsanalyse | Regression analysis | Spillover-Effekt | Spillover effect | Theorie | Theory | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102104 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014520440