Risk spillover analysis of China's financial sectors based on a new GARCH Copula quantile regression model
Year of publication: |
2022
|
---|---|
Authors: | Tian, Maoxi ; Guo, Fei ; Niu, Rong |
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. 63.2022, p. 1-25
|
Subject: | Copula quantile regression | CoVaR | Risk spillover effect | Systemic risk | Multivariate Verteilung | Multivariate distribution | Regressionsanalyse | Regression analysis | China | Spillover-Effekt | Spillover effect | Risikomaß | Risk measure | Systemrisiko | ARCH-Modell | ARCH model | Welt | World |
-
Tian, Maoxi, (2023)
-
FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie, (2023)
-
Tian, Maoxi, (2022)
- More ...
-
Tian, Maoxi, (2022)
-
Wang, Xiaoling, (2020)
-
Assessing systemic risk spillovers from FinTech to China's financial system
Tian, Maoxi, (2024)
- More ...