Quantile coherency networks of international stock markets
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- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 119-129.
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More about this item
Keywords
quantile coherency; networks; stock markets; extreme negative returns; financial crisis;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
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-04-08 (Financial Markets)
- NEP-IFN-2019-04-08 (International Finance)
- NEP-RMG-2019-04-08 (Risk Management)
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