The path of financial risk spillover in the stock market based on the R-vine-copula model

DOI10.1016/J.PHYSA.2022.127470OpenAlexW4225392816MaRDI QIDQ2144982

Yanyan Li

Publication date: 17 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2022.127470

zbMATH Keywords

spilloverCOVID-19 pandemicGARCH copula CoVaRR-complex correlationsystemic financial risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models

This page was built for publication: The path of financial risk spillover in the stock market based on the R-vine-copula model