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Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets

Changqing, Luo; Chi, Xie; Cong, Yu; Yan, Xu - In: Economic modelling 51 (2015), pp. 657-671

Persistent link: https://www.econbiz.de/10011476241

Correlations between oil and stock markets : a wavelet-based approach

Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227

Persistent link: https://www.econbiz.de/10011440530

Measuring financial contagion : dealing with the volatility Bias in the correlation dynamics

Starkey, Christopher Michael; Tsafack, Georges - In: International review of financial analysis 90 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014469938

Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

Persistent link: https://www.econbiz.de/10014494675

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

Persistent link: https://www.econbiz.de/10011471074