The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model

Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayton copula. It is applied to investigate the dynamic...

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Detalles Bibliográficos
Autores principales: Niu, Hongli, Xu, Kunliang, Xiong, Mengyuan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10138163/
https://www.ncbi.nlm.nih.gov/pubmed/37190407
http://dx.doi.org/10.3390/e25040619

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10138163/
https://www.ncbi.nlm.nih.gov/pubmed/37190407
http://dx.doi.org/10.3390/e25040619

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