Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market
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DOI: 10.1016/j.najef.2024.102230
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More about this item
Keywords
Risk spillover; Copula-MIDAS; GJR-GARCH; CoVaR; Leverage effect;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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