Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Year of publication: |
2021
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Authors: | Changqing, Luo ; Liu, Lan ; Wang, Da |
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. 58.2021, p. 1-24
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Subject: | Conditional Value-at-Risk | Dynamic Copula models | Empirical mode decomposition | Multiscale financial risk | Risk contagion | Risikomaß | Risk measure | Ansteckungseffekt | Contagion effect | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Deutschland | Germany | Portfolio-Management | Portfolio selection | Internationaler Finanzmarkt | International financial market | Aktienmarkt | Stock market | Finanzmarkt | Financial market | Risiko | Risk | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income |
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