The contribution of shadow banking risk spillover to the commercial banks in China : based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model
Year of publication: |
2023
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Authors: | Zhu, Chen |
Published in: |
Electronic commerce research. - Dordrecht : Springer Science Business Media B.V., ISSN 1572-9362, ZDB-ID 2038488-9. - Vol. 23.2023, 4, p. 2153-2181
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Subject: | Risk spillover contribution | Shadow banking | Time-Varying CoVaR Model | China | Informeller Finanzsektor | Informal finance | Spillover-Effekt | Spillover effect | Bankrisiko | Bank risk | Risikomaß | Risk measure | Bank | Systemrisiko | Systemic risk | Kreditrisiko | Credit risk |
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