Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data

Author:

Ji QiangORCID,Liu Bing-Yue,Cunado Juncal,Gupta Rangan

Funder

National Natural Science Foundation of China

Youth Innovation Promotion Association of Chinese Academy of Sciences

Ministerio de Economia y Competitividad

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference65 articles.

1. Measuring systemic risk. Working paper;Acharya,2010

2. CoVaR. NBER Working Paper 17454;Adrian,2011

3. A wake-up call theory of contagion;Ahnert,2015

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5. International asset allocation with regime shifts;Ang;Review of Financial Studies,2002

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