Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets

Considering the asymmetric dependency structure and regime switching process, we construct the dynamic Markov Regime Switching Copula (MRS-Copula) models to measure the financial risk contagion. The dynamic MRS-Copula models consist of the marginal model and dynamic MRS Rotated-Gumbel function, and...

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Veröffentlicht in:	Economic modelling 2015-12, Vol.51, p.657-671
Hauptverfasser:	Changqing, Luo, Chi, Xie, Cong, Yu, Yan, Xu
Format:	Artikel
Sprache:	eng
Schlagworte:	Dynamic correlation Dynamic Markov Regime Switching Copula Economic crisis Economic models Foreign exchange rates Lower tail dependency Markov analysis Risk assessment Risk contagion Securities markets Stock exchanges Studies
Online-Zugang:	Volltext
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