Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis
Xianfang Su
Year of publication: |
2020
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Authors: | Su, Xianfang |
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. 51.2020, p. 1-14
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Subject: | Stock market | Risk spillover | Quantile regression | Variance decomposition | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Dekompositionsverfahren | Decomposition method | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | Risikomaß | Risk measure | Großbritannien | United Kingdom | Regressionsanalyse | Regression analysis |
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