Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets
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More about this item
Keywords
Conditional correlation; Contagion risk; Multivariate BEKK; Leverage effect; Nonparametric regression; Systematic risk; Systemic risk; Volatility spillover;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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