摘要 : We propose a new approach to the study of financial contagion and contagion channels in the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) model. This method allows us to elucidate the complex and dy... 展开
作者 | Wang~ Haiying Yuan~ Ying Li~ Yiou Wang~ Xunhong |
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作者单位 | |
期刊名称 | 《Economic modelling》 |
页码/总页数 | 401-414 / 14 |
语种 | 英语 |
关键词 | Financial contagion Contagion channels Dynamic mixture copula Extreme value theory |
DOI | 10.1016/j.econmod.2020.10.002 |
馆藏号 | F-384 |