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Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries
Yang, Lu; Yang, Lei; Hamori, Shigeyuki - In: International review of financial analysis 59 (2018), pp. 19-34
Persistent link: https://www.econbiz.de/10012006896
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Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach
Yang, Lu; Yang, Lei; Ho, Kung-Cheng; Hamori, Shigeyuki - In: Journal of Asian economics 68 (2020)
Persistent link: https://www.econbiz.de/10012513082
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Risk spillover from international financial markets and China's macro-economy : a MIDAS-CoVaR-QR model
Yang, Lu; Cui, Xue; Yang, Lei; Hamori, Shigeyuki; Cai, … - In: International review of economics & finance : IREF 84 (2023), pp. 55-69
Persistent link: https://www.econbiz.de/10014342993