Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes
Xu Zhang, Xian Yang, Qizhi He
Year of publication: |
2022
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Authors: | Zhang, Xu ; Yang, Xian ; He, Qizhi |
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. 62.2022, p. 1-39
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Subject: | Commodity market | CoVaR | Spillover network | STVAR | Wavelet packet decomposition | Spillover-Effekt | Spillover effect | Rohstoffmarkt | Systemrisiko | Systemic risk | Unternehmensnetzwerk | Business network |
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