The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Using half-rotated technology of copula, this study proposes a generalized autoregressive conditional heteroskedasticity (GARCH) copula quantile regression (CQR) model to describe the asymmetric negative and nonlinear tail dependence between foreign exchange rates (FX) and stock markets. Based on da...
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| Format: | article |
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2022
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| Online Access: | http://hdl.handle.net/10725/14855 https://doi.org/10.1016/j.intfin.2022.101712 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S1042443122001846 |
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