The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Year of publication: |
2023
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Authors: | Tian, Maoxi ; El Khoury, Rim ; Alshater, Muneer Maher |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 82.2023, p. 1-28
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Subject: | Systemic risk spillover | Emerging economies | CoVaR | Copula quantile regression model | GARCH copula model | Schwellenländer | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Risikomaß | Risk measure | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Theorie | Theory | Systemrisiko | Systemic risk | Regressionsanalyse | Regression analysis | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income |
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