Multi-scale dependence and risk contagion among international financial markets based on VMD-Vine copula-CoVaR-Reference-Cited by-同舟云学术

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Multi-scale dependence and risk contagion among international financial markets based on VMD-Vine copula-CoVaR

Published:2024-01-25 Issue: Volume: Page:1-20
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Wang Jia¹²^ORCID,Yan Xinzhu²,Cao Yuan²,Wang Xu³

Affiliation:

1. The School of Management, Shenyang University of Technology, Shenyang, China

2. The School of Economics, Northeastern University at Qinhuangdao, Qinhuangdao, China

3. The College of Economics and Management, Hebei University of Environmental Engineering, Qinhuangdao, China

Funder

supported by the Social Science Foundation in Hebei Province of China under Grant HB22YJ035

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2024.2305615

Reference49 articles.

1. Wavelet Multiscale and Spillover Analyses of Volatility and Correlation

2. Wavelet analysis of impact of renewable energy consumption and technological innovation on CO2 emissions: evidence from Portugal

3. CoVaR

4. Dependence structure across equity sectors: Evidence from vine copulas

5. Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

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