Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach-Reference-Cited by-同舟云学术

Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach

Published:2018-03-28 Issue:7 Volume:54 Page:1513-1537
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Lee Yongwoong¹,Hong KiHoon²,Yang Kisung³

Affiliation:

1. Department of International Finance, College of Economics and Business, Hankuk University of Foreign Studies, Yongin-si, Gyeonggi-do, Republic of Korea

2. Department of Business Administration, College of Business Administration, Hongik University, Seoul, Republic of Korea

3. Department of Financial Engineering, College of Political Science and Economics, Korea University, Seoul, Republic of Korea

Funder

University of Foreign Studies Research Fund

Asia Economic Community Forum

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2018.1445989

Reference43 articles.

1. Assessing stock market dependence and contagion

2. Sovereign credit ratings and financial markets linkages: Application to European data

3. Modeling financial contagion using mutually exciting jump processes

4. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?

5. How do global investors differentiate between sovereign risks? The new normal versus the old

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