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 | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risikomanagement | Risk management | Volatilität | Volatility | Systemrisiko | Systemic risk |
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