Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model
Year of publication: |
2021
|
---|---|
Authors: | Jiang, Cuixia ; Li, Yuqian ; Xu, Qifa ; Liu, Yezheng |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 75.2021, p. 386-398
|
Subject: | CoVaR | GARCH | MIDAS | Risk spillovers | Vine copula | Spillover-Effekt | Spillover effect | China | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Stock market | Volatilität | Volatility | Risiko | Risk | Risikomanagement | Risk management | Messung | Measurement |
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