Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Year of publication: |
2021
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Authors: | Liu, Xiaohang ; Li, Handong |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 24.2021, 1, p. 53-77
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Subject: | system risk | dynamic mixture copula (DMC) model | marginal expected shortfall (MES) | mobility measures | long memory | Risikomaß | Risk measure | Systemrisiko | Systemic risk | China | Messung | Measurement | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution |
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