Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets-Reference-Cited by-同舟云学术

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

Published:2015-12 Issue: Volume:51 Page:657-671
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Changqing Luo,Chi Xie,Cong Yu,Yan Xu

Funder

National Natural Science Foundation of China

Ministry of Education of Humanities and Social Science Project

Science and Technology Innovative Research Team in Higher Educational Institutions of Hunan Province

Key Research Base of Philosophy and Social Sciences in Higher Educational Institutions of Hunan Province

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference54 articles.

1. Global and regional volatility spillovers to GCC stock markets;Alotaibi;Econ. Model.,2015

2. Co-movements of GCC emerging stock markets: new evidence from wavelet coherence analysis;Aloui;Econ. Model.,2014

3. Asymmetric correlations of equity portfolios;Ang;J. Financ. Econ.,2002

4. Structural change and international stock market interdependence: evidence from Asian emerging markets;Awokuse;Econ. Model.,2009

5. A new approach to measuring financial contagion;Bae;Rev. Financ. Stud.,2003

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